Comparison of least squares Monte Carlo methods with applications to energy real options
Selvaprabu Nadarajah, François Margot, Nicola Secomandi
| Year of publication: |
1 January 2017
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| Authors: | Nadarajah, Selvaprabu ; Margot, François ; Secomandi, Nicola |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 256.2017, 1 (1.1.), p. 196-204
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| Subject: | Energy | Real options | Least-squares Monte Carlo | Approximate dynamic programming | Information relaxation and duality | Monte-Carlo-Simulation | Monte Carlo simulation | Realoptionsansatz | Real options analysis | Optionspreistheorie | Option pricing theory | Dynamische Optimierung | Dynamic programming | Kleinste-Quadrate-Methode | Least squares method |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2016.06.020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011611249