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~isPartOf:"Lecture Notes in Economics and Mathematical Systems"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~language:"eng"
~person:"Dokučaev, Nikolaj G."
~person:"Pham, Huyên"
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Search: subject_exact:"Optimal control problem"
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Option pricing theory
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stochastic optimal control
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swing options
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Dokučaev, Nikolaj G.
Pham, Huyên
Bender, Christian
2
Cadenillas, Abel
2
Muthuraman, Kumar
2
Runggaldier, Wolfgang J.
2
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Lecture Notes in Economics and Mathematical Systems
Mathematical finance : an international journal of mathematics, statistics and financial theory
Applied economics letters
1
From stochastic calculus to mathematical finance : the Shiryaev Festschrift ; [Second Bachelier Colloquium on Stochastic Calculus and Probability, Metabief, France, January 9 - 15, 2005]
1
International journal of theoretical and applied finance
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Journal of economic dynamics & control
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Mathematical modeling and numerical methods in finance : special volume
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A first-order BSPDE for swing option pricing : classical solutions
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
27
(
2017
)
3
,
pp. 902-925
Persistent link: https://www.econbiz.de/10011764986
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2
A first-order BSPDE for swing option pricing
Bender, Christian
;
Dokučaev, Nikolaj G.
- In:
Mathematical finance : an international journal of …
26
(
2016
)
3
,
pp. 461-491
Persistent link: https://www.econbiz.de/10011583530
Saved in:
3
A model of optimal consumption under liquidity risk with random trading times
Pham, Huyên
;
Tankov, Peter
- In:
Mathematical finance : an international journal of …
18
(
2008
)
4
,
pp. 613-627
Persistent link: https://www.econbiz.de/10003769020
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