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"Optimal Exercise of Swing Contracts in Energy Markets: An Integral ..."

Matteo Basei, Annalisa Cesaroni, Tiziano Vargiolu (2014)

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DOI: 10.1137/130928893

access: closed

type: Journal Article

metadata version: 2017-06-08

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Matteo Basei, Annalisa Cesaroni, Tiziano Vargiolu:
Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem. SIAM J. Financial Math. 5(1): 581-608 (2014)

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