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Accurate Semi-Lagrangian Time Stepping for Stochastic Optimal Control Problems with Application to the Valuation of Natural Gas Storage
Ware, AntonyVolume:
4
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/110853546
Date:
January, 2013
File:
PDF, 3.32 MB
english, 2013