A continuous time model to price commodity-based swing options (Q2490450)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A continuous time model to price commodity-based swing options |
scientific article |
Statements
A continuous time model to price commodity-based swing options (English)
0 references
2 May 2006
0 references
optimal stopping problem
0 references
HJB quasi-variational inequalities
0 references
option pricing
0 references
commodity
0 references
0 references
