NATURAL GAS-FIRED POWER PLANTS VALUATION AND OPTIMIZATION UNDER LÉVY COPULAS AND REGIME SWITCHING

DOI10.1142/S0219024917500042zbMath1396.91762arXiv1607.01207OpenAlexW3122960404MaRDI QIDQ2970319

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Publication date: 30 March 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1607.01207

zbMATH Keywords

stochastic controlpower plantcoupled HJB equationsLévy copulas, regime switching

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Valuation of power plants

Cites Work

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