Optimal risk management problem of natural resources: application to oil drilling
From MaRDI portal
Publication:829138
DOI10.1007/s10479-019-03303-1zbMath1462.90058OpenAlexW2925231957MaRDI QIDQ829138
Stéphane Goutte, Thomas Lim, Idris Kharroubi, M'hamed Gaigi
Publication date: 5 May 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://basepub.dauphine.fr/handle/123456789/18668
Numerical methods (including Monte Carlo methods) (91G60) Management decision making, including multiple objectives (90B50) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Risk models (general) (91B05)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Numerical analysis of a free-boundary singular control problem in financial economics
- On the theory of option pricing
- Multi-reservoir production optimization
- Optimal strategy between extraction and storage of crude oil
- Numerical solutions of optimal risk control and dividend optimization policies under a generalized singular control formulation
- Valuation of Commodity-Based Swing Options
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS