An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
type: Item
instance of: scholarly article
title: An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
zbMATH Open document ID: 1334.60065
author: Lingfei Li
author: Xianjun Qu
author: Gongqiu Zhang
published in: Journal of Computational and Applied Mathematics
publication date: 2015-11-13T00:00:00Z
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 49L20
Mathematics Subject Classification ID: 90C39
Mathematics Subject Classification ID: 65K05
zbMATH DE Number: 6508286
zbMATH Keywords: optimal switching
zbMATH Keywords: optimal multiple stopping
zbMATH Keywords: diffusions
zbMATH Keywords: dynamic programming
zbMATH Keywords: eigenfunction expansions
zbMATH Keywords: commodity swing options
zbMATH Keywords: real options
MaRDI profile type: Publication
full work available at URL: j.cam.2015.08.010
OpenAlex ID: W1519957828
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DOI: 10.1016/J.CAM.2015.08.010
description: scientific article; zbMATH DE number 6508286