Valuation of power plants by utility indifference and numerical computation (Q836863)
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scientific article; zbMATH DE number 5602491
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of power plants by utility indifference and numerical computation |
scientific article; zbMATH DE number 5602491 |
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Valuation of power plants by utility indifference and numerical computation (English)
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9 September 2009
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real option
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backward stochastic differential equation
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utility indifference
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nonlinear Monte Carlo methods
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finite differences for PDE
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