A First-Order BSPDE for Swing Option Pricing: Classical Solutions
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- David B. Brown & James E. Smith & Peng Sun, 2010. "Information Relaxations and Duality in Stochastic Dynamic Programs," Operations Research, INFORMS, vol. 58(4-part-1), pages 785-801, August.
- M. Basei & A. Cesaroni & T. Vargiolu, 2013. "Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem," Papers 1307.1320, arXiv.org.
- Christian Bender & Nikolai Dokuchaev, 2013. "A First-Order BSPDE for Swing Option Pricing," Papers 1305.3988, arXiv.org.
- Nikolai Dokuchaev, 2013. "Continuously Controlled Options: Derivatives With Added Flexibility," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(01), pages 1-23.
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