SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Swing Options Valuation: A BSDE with Constrained Jumps Approach
16 references·0 citing·36 second hop
Swing Options Valuation: A BSDE with Constrained Jumps Approach (2012)Swing Options Valuation: A BSDE with Cons…Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (2012)Monte-Carlo Valuation of Amer…Backward SDEs with constrained jumps and quasi-variational inequalities (2010)Backward SDEs with constraine…Multi-dimensional BSDE with oblique reflection and optimal switching (2009)Multi-dimensional BSDE with o…A Finite Horizon Optimal Multiple Switching Problem (2009)A Finite Horizon Optimal Mult…Pricing Asset Scheduling Flexibility using Optimal Switching (2008)Pricing Asset Scheduling Flex…OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008)OPTIMAL MULTIPLE STOPPING AND…On the Starting and Stopping Problem: Application in Reversible Investments (2007)On the Starting and Stopping …Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)Discrete-time approximation o…Applied Stochastic Control of Jump Diffusions (2007)Applied Stochastic Control of…Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations (2006)Rate of convergence of an emp…A model of optimal portfolio selection under liquidity risk and price impact (2006)A model of optimal portfolio …Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…A regression-based Monte Carlo method to solve backward stochastic differential equations (2005)A regression-based Monte Carl…Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Discrete-time approximation a…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Error analysis of the optimal quantization algorithm for obstacle problems (2003)Error analysis of the optimal…Adapted solution of a backward stochastic differential equation (1990)Hedging of contingent claims under incomplete information (1990)Backward Stochastic Differential Equations in Finance (1997)Machine Learning Approximation Algorithms for High-Dimensional Fully Nonlinear Partial Differential Equations and Second-order Backward Stochastic Differential Equations (2019)On Multilevel Picard Numerical Approximations for High-Dimensional Nonlinear Parabolic Partial Differential Equations and High-Dimensional Nonlinear Backward Stochastic Differential Equations (2019)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Second‐order backward stochastic differential equations and fully nonlinear parabolic PDEs (2006)A forward scheme for backward SDEs (2007)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Brownian Motion and Stochastic Calculus (2007)Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011)Numerical solution of stochastic differential equations (2016)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Modelling spikes and pricing swing options in electricity markets (2009)Dual pricing of multi-exercise options under volume constraints (2010)Introduction to Stochastic Calculus Applied to Finance (2011)A Survey of Commodity Markets and Structural Models for Electricity Prices (2013)Stochastic Integration and Differential Equations (2005)The Malliavin Calculus and Related Topics (2006)Smart expansion and fast calibration for jump diffusions (2009)Least-Squares Monte Carlo for Backward SDEs (2012)A Fourier Cosine Method for an Efficient Computation of Solutions to BSDEs (2015)Stochastic differential equations with reflecting boundary conditions (1984)Continuous Martingales and Brownian Motion (1999)The Finite Horizon Optimal Multi-Modes Switching Problem: The Viscosity Solution Approach (2009)Switching problem and related system of reflected backward SDEs (2010)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Fluctuations of Lévy Processes with Applications (2014)Risk minimizing portfolios and HJBI equations for stochastic differential games (2008)Optimal high-frequency trading with limit and market orders (2012)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)
this work references cited by second hop

References

  • 2003Financial Modelling with Jump Processes3,261 cited
  • 2005Applied Stochastic Control of Jump Diffusions905 cited
  • 2007Applied Stochastic Control of Jump Diffusions599 cited
  • 2004Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations518 cited
  • 2005A regression-based Monte Carlo method to solve backward stochastic differential equations412 cited
  • 2008OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS191 cited
  • 2006Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations171 cited
  • 2007On the Starting and Stopping Problem: Application in Reversible Investments167 cited
  • 2007Discrete-time approximation of decoupled Forward–Backward SDE with jumps140 cited
  • 2009Multi-dimensional BSDE with oblique reflection and optimal switching133 cited
  • 2006A model of optimal portfolio selection under liquidity risk and price impact130 cited
  • 2009A Finite Horizon Optimal Multiple Switching Problem128 cited
  • 2003Error analysis of the optimal quantization algorithm for obstacle problems105 cited
  • 2012Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods101 cited

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

2008
Pricing Asset Scheduling Flexibility using Optimal Switching
91 cited
  • 2010Backward SDEs with constrained jumps and quasi-variational inequalities63 cited
  • Cited by

    No citing works inside the corpus for this window.