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~isPartOf:"European Journal of Operational Research"
~person:"Lo, Harry"
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Continuous time Markov chains
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Dynamic programming
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Electricity derivatives
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Lo, Harry
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A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on
continuous
time
lattices
Albanese, Claudio
;
Lo, Harry
;
Tompaidis, Stathis
- In:
European Journal of Operational Research
222
(
2012
)
2
,
pp. 361-368
process by a
continuous
time
Markov chain. We numerically study the rate of convergence of the algorithm for the case of the …
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