Comparison of least squares Monte Carlo methods with applications to energy real options
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Publication:1752185
DOI10.1016/j.ejor.2016.06.020zbMath1394.90552OpenAlexW3121938364MaRDI QIDQ1752185
Selvaprabu Nadarajah, Nicola Secomandi, Margot, François
Publication date: 24 May 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2016.06.020
energyreal optionsapproximate dynamic programmingleast-squares Monte Carloinformation relaxation and duality
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Numerical mathematical programming methods (65K05) Dynamic programming (90C39) Derivative securities (option pricing, hedging, etc.) (91G20)
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