A Discrete Time Approach for Modeling Two-Factor Mean-Reverting Stochastic Processes

DOI10.1287/deca.1110.0209zbMath1398.91652OpenAlexW2042417987MaRDI QIDQ4691941

James S. Dyer, Warren J. Hahn

Publication date: 24 October 2018

Published in: Decision Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/deca.1110.0209

zbMATH Keywords

dynamic programmingstochastic processesdiscrete modelsvaluation

Mathematics Subject Classification ID

Dynamic programming (90C39) Generalized stochastic processes (60G20) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (1)

Comparison of least squares Monte Carlo methods with applications to energy real options

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