Swing options in commodity markets : a multidimensional Lévy diffusion model
Marcus Eriksson; Jukka Lempa; Trygve Kastberg Nilssen
| Year of publication: |
2014
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|---|---|
| Authors: | Eriksson, Marcus ; Lempa, Jukka ; Nilssen, Trygve Kastberg |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 79.2014, 1, p. 31-67
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| Subject: | Swing option | Flexible load contract | Dynamic programming problem | Multi-factormodel | Lévy diffusion | HJB-equation | Finite difference method | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Dynamische Optimierung | Dynamic programming | Innovationsdiffusion | Innovation diffusion | Mathematische Optimierung | Mathematical programming |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010347962