Implications of a regime-switching model on natural gas storage valuation and optimal operation
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Publication:5190131
DOI10.1080/14697680802374791zbMath1198.91204OpenAlexW2059549766MaRDI QIDQ5190131
Zhuliang Chen, Peter A. I. Forsyth
Publication date: 12 March 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680802374791
Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)
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