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A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation
10 references·16 citing·38 second hop
A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation (2007)A Semi-Lagrangian Approach for Natural Ga…Natural gas storage valuation and optimization: A real options application (2009)Natural gas storage valuation…Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance (2007)Numerical methods for control…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Valuation of Commodity-Based Swing Options (2004)Valuation of Commodity-Based …Robust numerical methods for contingent claims under jump diffusion processes (2004)Robust numerical methods for …A penalty method for American options with jump diffusion processes (2004)A penalty method for American…Numerical convergence properties of option pricing PDEs with uncertain volatility (2003)Numerical convergence propert…Derivatives: The Theory and Practice of Financial Engineering (1998)Derivatives: The Theory and P…Real Options: Managerial Flexibility and Strategy in Resource Allocation (1996)Real Options: Managerial Flex…Investment Under Uncertainty. (1994)Investment Under Uncertainty.Gas storage valuation in incomplete markets (2020)Gas storage valuation in inco…Resource extraction with a carbon tax and regime switching prices: Exercising your options (2017)Resource extraction with a ca…Relaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage (2015)Relaxations of Approximate Li…Merchant Commodity Storage Practice Revisited (2015)Merchant Commodity Storage Pr…Merchant Commodity Storage and Term-Structure Model Error (2015)Merchant Commodity Storage an…Quantifying natural gas storage optionality: a two-factor tree model (2013)Quantifying natural gas stora…Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies (2013)Comparison Between the Mean-V…A Survey of Commodity Markets and Structural Models for Electricity Prices (2013)A Survey of Commodity Markets…A splitting method for fully nonlinear degenerate parabolic PDEs (2013)A splitting method for fully …Seasonal Energy Storage Operations with Limited Flexibility: The Price-Adjusted Rolling Intrinsic Policy (2012)Seasonal Energy Storage Opera…Valuation of Storage at a Liquefied Natural Gas Terminal (2011)Valuation of Storage at a Liq…How much should we pay for interconnecting electricity markets? A real options approach (2011)How much should we pay for in…Gas storage valuation applying numerically constructed recombining trees (2011)Gas storage valuation applyin…A Hamilton–Jacobi–Bellman approach to optimal trade execution (2010)A Hamilton–Jacobi–Bellman app…Implications of a regime-switching model on natural gas storage valuation and optimal operation (2009)Implications of a regime-swit…A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (2008)A numerical scheme for the im…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Option pricing when underlying stock returns are discontinuous (1976)Investment under Uncertainty (1994)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Gas Storage Valuation Using a Monte Carlo Method (2008)A Jump-Diffusion Model for Option Pricing (2002)Numerical valuation of options with jumps in the underlying (2004)Integro-differential equations for option prices in exponential Lévy models (2005)Pricing Options in Jump-Diffusion Models: An Extrapolation Approach (2007)“Options, Futures, and Other Derivatives” (2016)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Valuing Simple Multiple-Exercise Real Options in Infrastructure Projects (2007)OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008)Valuation of energy storage: an optimal switching approach (2009)Theory of Rational Option Pricing (1973)A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion (2005)Convergence analysis of Crank–Nicolson and Rannacher time-marching (2006)Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance (2008)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Financial Modelling with Jump Processes (2003)Applied Stochastic Control of Jump Diffusions (2005)A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (2015)Information, Blockbusters and Stars? 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this work references cited by second hop

References

  • 1994Investment Under Uncertainty.9,497 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1996Real Options: Managerial Flexibility and Strategy in Resource Allocation2,220 cited
  • 1998Derivatives: The Theory and Practice of Financial Engineering552 cited
  • 2004Valuation of Commodity-Based Swing Options276 cited
  • 2004Robust numerical methods for contingent claims under jump diffusion processes261 cited
  • 2004A penalty method for American options with jump diffusion processes202 cited
  • 2007Numerical methods for controlled Hamilton-Jacobi-Bellman PDEs in finance180 cited
  • 2003Numerical convergence properties of option pricing PDEs with uncertain volatility157 cited
  • 2009Natural gas storage valuation and optimization: A real options application156 cited

Cited by

  • 2008A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB)108 cited
  • 2013A Survey of Commodity Markets and Structural Models for Electricity Prices100 cited
  • 2009Implications of a regime-switching model on natural gas storage valuation and optimal operation79 cited
  • 2010A Hamilton–Jacobi–Bellman approach to optimal trade execution66 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2011Valuation of Storage at a Liquefied Natural Gas Terminal61 cited
  • 2012Seasonal Energy Storage Operations with Limited Flexibility: The Price-Adjusted Rolling Intrinsic Policy60 cited
  • 2015Relaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage57 cited
  • 2011How much should we pay for interconnecting electricity markets? A real options approach50 cited
  • 2013Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies42 cited
  • 2020Gas storage valuation in incomplete markets36 cited
  • 2015Merchant Commodity Storage Practice Revisited34 cited
  • 2013A splitting method for fully nonlinear degenerate parabolic PDEs34 cited
  • 2015Merchant Commodity Storage and Term-Structure Model Error32 cited
  • 2017Resource extraction with a carbon tax and regime switching prices: Exercising your options31 cited
  • 2011Gas storage valuation applying numerically constructed recombining trees30 cited
  • 2013Quantifying natural gas storage optionality: a two-factor tree model27 cited