scientific article; zbMATH DE number 2096574
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Publication:4810486
zbMATH Open1073.91035MaRDI QIDQ4810486FDOQ4810486
Authors: Ali Lari-Lavassani, Mohamadreza Simchi, Antony Ware 
Publication date: 6 September 2004
Title of this publication is not available (Why is that?)
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finite differencenumerical methodsforestOption pricingtwo-factor modelenergy commodity modeling and derivativesmean-reverting models
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- Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
- Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
- Static-arbitrage optimal subreplicating strategies for basket options
- Swing option pricing consistent with futures smiles
- Swing contract pricing: with and without neural networks
- Swing Option Pricing by Optimal Exercise Boundary Estimation
- Numerical methods for the pricing of swing options: a stochastic control approach
- Option valuation by using discrete singular convolution
- Modelling and numerical valuation of power derivatives in energy markets
- Optimal Quantization for the Pricing of Swing Options
- On the Structure of a Swing Contract's Optimal Value and Optimal Strategy
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
- Distributed energy resources flexibility as volumetric options on electricity
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options
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- A multilevel Monte Carlo method for the valuation of swing options
- Static-arbitrage upper bounds for the prices of basket options
- Valuation of electricity swing options by multistage stochastic programming
- Electricity swing options: behavioral models and pricing
- Swing option pricing by dynamic programming with b-spline density projection
- Valuation of Commodity-Based Swing Options
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
- Commodity and financial swing option pricing model and numerical analysis
- Discrete time modeling of mean-reverting stochastic processes for real option valuation
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