Valuation of power plants by utility indifference and numerical computation
type: Item
instance of: scholarly article
title: Valuation of power plants by utility indifference and numerical computation
zbMATH Open document ID: 1180.91218
author: Arnaud Porchet
author: Nizar Touzi
author: Xavier Warin
published in: Mathematical Methods of Operations Research
publication date: 2009-09-09T00:00:00Z
Mathematics Subject Classification ID: 91B74
Mathematics Subject Classification ID: 91G50
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 5602491
zbMATH Keywords: real option
zbMATH Keywords: backward stochastic differential equation
zbMATH Keywords: utility indifference
zbMATH Keywords: nonlinear Monte Carlo methods
zbMATH Keywords: finite differences for PDE
MaRDI profile type: Publication
full work available at URL: s00186-008-0231-z
OpenAlex ID: W2089721892
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DOI: 10.1007/S00186-008-0231-Z
description: scientific article; zbMATH DE number 5602491