Comparison of least squares Monte Carlo methods with applications to energy real options
type: Item
instance of: scholarly article
title: Comparison of least squares Monte Carlo methods with applications to energy real options
zbMATH Open document ID: 1394.90552
author: Selvaprabu Nadarajah
author: Nicola Secomandi
author: François Margot
published in: European Journal of Operational Research
publication date: 2018-05-24T00:00:00Z
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 65K05
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 6872200
zbMATH Keywords: energy
zbMATH Keywords: real options
zbMATH Keywords: least-squares Monte Carlo
zbMATH Keywords: approximate dynamic programming
zbMATH Keywords: information relaxation and duality
describes a project that uses: SwingPlanner
describes a project that uses: StoragePlanner
describes a project that uses: Matlab
describes a project that uses: MATLAB Financial Toolbox
MaRDI profile type: Publication
full work available at URL: j.ejor.2016.06.020
OpenAlex ID: W3121938364
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DOI: 10.1016/J.EJOR.2016.06.020
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description: scientific article; zbMATH DE number 6872200