Relaxations of approximate linear programs for the real option management of commodity storage
Selvaprabu Nadarajah (College of Business Administration, University of Illinois at Chicago, Chicago, Illinois), François Margot, Nicola Secomandi (Tepper School of Business, Carnegie Mellon University, Pittsburgh, Pennsylvania)
| Year of publication: |
December 2015
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|---|---|
| Authors: | Nadarajah, Selvaprabu ; Margot, François ; Secomandi, Nicola |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 61.2015, 12, p. 3054-3076
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| Subject: | programming | linear | applications | dynamic programming | Markov | finance | asset pricing | industries | petroleum-natural gas | Mathematische Optimierung | Mathematical programming | Realoptionsansatz | Real options analysis | Dynamische Optimierung | Dynamic programming | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2014.2136 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011413516