Valuation of power plants by utility indifference and numerical computation

DOI10.1007/s00186-008-0231-zzbMath1180.91218OpenAlexW2089721892MaRDI QIDQ836863

Nizar Touzi, Xavier Warin, Arnaud Porchet

Publication date: 9 September 2009

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-008-0231-z

zbMATH Keywords

backward stochastic differential equationreal optionutility indifferencefinite differences for PDEnonlinear Monte Carlo methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Corporate finance (dividends, real options, etc.) (91G50)

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