A first-order BSPDE for swing option pricing
Christian Bender and Nikolai Dokuchaev
| Year of publication: |
July 2016
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|---|---|
| Authors: | Bender, Christian ; Dokučaev, Nikolaj G. |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 26.2016, 3, p. 461-491
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| Subject: | backward SPDE | stochastic optimal control | swing options | Stochastischer Prozess | Stochastic process | Experiment | Optionspreistheorie | Option pricing theory | Kontrolltheorie | Control theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12067 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011583530