Blar i SAM - Handelshøyskolen på emneord "HJB-equation"
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Swing options in commodity markets: A multidimensional Lévy diffusion model
(Mathematical Methods of Operations Research;79(1), Journal article; Peer reviewed, 2013-08-29)We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a ...