Pricing Asset Scheduling Flexibility using Optimal Switching

By René A. Carmona, M. Ludkovski. 2008

112 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ff76b3a7b95658d064bfdb07794b42ae56d23ead

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Shige Peng
2. Ying Hu
3. Shanjian Tang
4. Li-Xin Zhang
5. Marcel Nutz
6. Mingshang Hu
7. Yongsheng Song
8. Fuqing Gao

In Finance

1. Shige Peng
2. Ying Hu
3. Shanjian Tang
4. Jianfeng Zhang
5. Li-Xin Zhang
6. Mingshang Hu
7. Marcel Nutz
8. Yongsheng Song

Citations in the corpus

• Backward Stochastic Differential Equation, Nonlinear Expectation and Their Applications (2011, methodology): “For the related multi-dimensional BSDEs with oblique reflection, see Ramasubramanian (2002), Carmona and Ludkovski (2008), Hu and Tang (2010) and Hamadene and Zhang (2010).”
• Multi-dimensional BSDE with oblique reflection and optimal switching (2007, background): “See Remark1 of Sect.3.7 in [14] and Remark3 of Sect.3.5 in [ 3 ].”