Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
Author:
Affiliation:
1. DATA61, CSIRO, 34 Village Street, Docklands 3008, Australia
2. Lacima Group, Suite 7.01, Level 7, 56 Pitt St, Sydney, NSW 2000, Australia
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1775283
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1. A dual approach to multiple exercise option problems under constraints
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