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~isPartOf:"Lecture Notes in Economics and Mathematical Systems"
~isPartOf:"Mathematical finance : an international journal of mathematics, statistics and financial theory"
~person:"Dokučaev, Nikolaj G."
~person:"Muthuraman, Kumar"
~person:"Sheu, S. J."
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Search: subject_exact:"Optimal control problem"
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Option pricing theory
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swing options
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Dokučaev, Nikolaj G.
Muthuraman, Kumar
Sheu, S. J.
Bender, Christian
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
International journal of theoretical and applied finance
1
Mathematics of operations research
1
McCombs Research Paper Series
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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
Simulation-based portfolio optimization for large portfolios with transaction costs
Muthuraman, Kumar
;
Zha, Haining
- In:
Mathematical finance : an international journal of …
18
(
2008
)
1
,
pp. 115-134
Persistent link: https://www.econbiz.de/10003643474
Saved in:
4
Multidimensional portfolio optimization with proportional transaction costs
Muthuraman, Kumar
;
Kumar, Sunil
- In:
Mathematical finance : an international journal of …
16
(
2006
)
2
,
pp. 301-335
Persistent link: https://www.econbiz.de/10003325969
Saved in:
5
Risk-sensitive control and an optimal investment model
Fleming, Wendell Helms
;
Sheu, S. J.
- In:
Mathematical finance : an international journal of …
10
(
2000
)
2
,
pp. 197-213
Persistent link: https://www.econbiz.de/10002177557
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