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Exercise regions of American options on several assets
Villeneuve, Stéphane - In: Finance and stochastics 3 (1999) 3, pp. 295-322
Persistent link: https://www.econbiz.de/10001389110
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Long-term risk management of nuclear waste : a real options approach
Loubergé, Henri; Villeneuve, Stéphane; Chesney, Marc - 2002
Persistent link: https://www.econbiz.de/10001733417
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Long-term risk management of nuclear waste : a real options approach
Loubergé, Henri; Villeneuve, Stéphane; Chesney, Marc - In: Journal of economic dynamics & control 27 (2002) 1, pp. 157-180
Persistent link: https://www.econbiz.de/10001703389
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On a monotone dynamic approach to optimal stopping problems for continuous-time Markov chains
Miclo, Laurent; Villeneuve, Stéphane - 2019
Persistent link: https://www.econbiz.de/10012181506
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Variance optimal hedging with application to electricity markets
Warin, Xavier - In: The journal of computational finance 23 (2019) 3, pp. 33-59
Persistent link: https://www.econbiz.de/10012162373
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A common shock model for multidimensional electricity intraday price modelling with application to battery valuation
Deschatre, Thomas; Warin, Xavier - In: Quantitative finance 24 (2024) 8, pp. 1157-1176
Persistent link: https://www.econbiz.de/10015196875
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Swing options valuation : a BSDE with constrained jumps approach
Bernhart, Marie; Pham, Huyen; Tankov, Peter; Warin, Xavier - In: Numerical methods in finance : Bordeaux, June 2010, (pp. 379-400). 2012
Persistent link: https://www.econbiz.de/10009577188
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Monte-Carlo valuation of American options : facts and new algorithms to improve existing methods
Bouchard, Bruno; Warin, Xavier - In: Numerical methods in finance : Bordeaux, June 2010, (pp. 215-255). 2012
Persistent link: https://www.econbiz.de/10009577193
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Numerical methods for the quadratic hedging problem in Markov models with jumps
De Franco, Carmine; Tankov, Peter; Warin, Xavier - In: The journal of computational finance 19 (2015/2016) 2, pp. 29-67
Persistent link: https://www.econbiz.de/10011442638
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Option valuation and hedging using an asymmetric risk function : asymptotic optimality through fully nonlinear partial differential equations
Gobet, Emmanuel; Pimentel, Isaque; Warin, Xavier - In: Finance and stochastics 24 (2020) 3, pp. 633-675
Persistent link: https://www.econbiz.de/10012518073