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(Research report / Forskningsrapport, 2008)
We study the pricing of American put and call options in a market with jumps. We extend and make rigorous previous work that characterizes the price as a solution of an integro-differential equation set on the whole domain. ...
(Research report / Forskningsrapport, 2008)
We investigate a constrained stochastic control problem connected to a financial contract representing a virtual factory. Commonly known as tolling agreements, these contracts are traded in free energy markets and include ...