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"Optimal Exercise of Swing Contracts in Energy Markets: An Integral ..."
Matteo Basei, Annalisa Cesaroni, Tiziano Vargiolu (2014)
- Matteo Basei, Annalisa Cesaroni
, Tiziano Vargiolu:
Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem. SIAM J. Financial Math. 5(1): 581-608 (2014)
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