Computational Science - ICCS 2004

DOI10.1007/b98005zbMath1102.91314OpenAlexW1792251604WikidataQ123847152 ScholiaQ123847152MaRDI QIDQ5712725

Rafał Weron, Stefan Trück, Michael Bierbrauer

Publication date: 23 December 2005

Published in: Lecture Notes in Computer Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/b98005

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (20)

The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model ⋮ Management strategies for run-of-river hydropower plants: an optimal switching approach ⋮ Modeling and forecasting electricity spot prices: a functional data perspective ⋮ Multisource Bayesian sequential change detection ⋮ A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes ⋮ A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets ⋮ Stochastic Optimization of Electricity Portfolios: Scenario Tree Modeling and Risk Management ⋮ A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction ⋮ A comparison of iterated optimal stopping and local policy iteration for American options under regime switching ⋮ Management of a hydropower system via convex duality ⋮ Computing American option price under regime switching with rationality parameter ⋮ Optimal Investment Timing for Carbon Emission Reduction Technology with a Jump-Diffusion Process ⋮ A comparison of regime-switching temperature modeling approaches for applications in weather derivatives ⋮ A new efficient numerical method for solving American option under regime switching model ⋮ Forward price and fitting of electricity Nord Pool market under regime-switching two-factor model ⋮ Valuation of swing options under a regime-switching mean-reverting model ⋮ Heavy-tails and regime-switching in electricity prices ⋮ A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes ⋮ Pricing American Options under Regime-Switching Model with a Crank-Nicolson Fitted Finite Volume Method ⋮ Modelling electricity prices: a time change approach

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