SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Swing Options Valuation: A BSDE with Constrained Jumps Approach · Study

ChapterShelves

ChapterSwing Options Valuation: A BSDE with Constrained Jumps Approach

Marie Bernhart2012

OA

Chaptergreen2012

Swing Options Valuation: A BSDE with Constrained Jumps Approach

Marie Bernhart · Huyên Pham · Peter Tankov · Xavier Warin

15 citations·0/0 files stored·Springer proceedings in mathematics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Risk and Portfolio Optimization Fuzzy Systems and Optimization

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 15 citations exist upstream.

References

2003Financial Modelling with Jump Processes 2005Applied Stochastic Control of Jump Diffusions 2007Applied Stochastic Control of Jump Diffusions 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations 2005A regression-based Monte Carlo method to solve backward stochastic differential equations 2008OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS 2006Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations 2007On the Starting and Stopping Problem: Application in Reversible Investments

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2023Numerical methods for backward stochastic differential equations: A surveyarticle · 9 shared references 2012Discrete-time approximation of multidimensional BSDEs with oblique reflectionsarticle · 9 shared references 2005On some recent aspects of stochastic control and their applicationsarticle · 6 shared references 2008Pricing Asset Scheduling Flexibility using Optimal Switchingarticle · 6 shared references 2014A Probabilistic Numerical Method for Optimal Multiple Switching Problems in High Dimensionarticle · 6 shared references 2013BSDE representations for optimal switching problems with controlled volatilityarticle · 6 shared references

Details

Year2012

Typechapter

Published2012-01-01

VenueSpringer proceedings in mathematics

ISSN-L2190-5614

Languageen

Citations15

Files0 public / 0

ShelfStochastic processes and financial applications

Identifiers

doi10.1007/978-3-642-25746-9_12

openalex_workW2123922338

Links

Imported from OpenAlex (CC0) — nothing here is generated.