Computing Optimal Recovery Policies for Financial Markets

DOI10.1287/opre.1120.1112zbMath1262.91144OpenAlexW2133601165MaRDI QIDQ4909109

Carlo Mannino, Geir Dahl, Fred Espen Benth

Publication date: 12 March 2013

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: http://www.dis.uniroma1.it/~bibdis/RePEc/aeg/wpaper/2010-20.pdf

zbMATH Keywords

Markov random fielddiscrete optimizationbilevel programmingfinancial models

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Corporate finance (dividends, real options, etc.) (91G50)

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