A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING (Q5739185)
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scientific article; zbMATH DE number 6603656
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING |
scientific article; zbMATH DE number 6603656 |
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A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING (English)
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15 July 2016
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swing options
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stochastic optimal control
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backward stochastic partial differential equations
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