Work

Swing Options Valuation: A BSDE with Constrained Jumps Approach

Year: 2012

Type: book-chapter

Source: Springer proceedings in mathematics

DOI: 10.1007/978-3-642-25746-9_12

Authors: Marie Bernhart, Huyên Pham, Peter Tankov, Xavier Warin

Institutions: Électricité de France (France), Laboratoire de Probabilités et Modèles Aléatoires, Université Paris Diderot, Laboratoire de Finance des Marchés de l'Énergie, Université Paris Dauphine-PSL

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2123922338

FWCI: 10.1

Cites: 27

Cited by: 13

Related to: 10