Optimal Quantization for the Pricing of Swing Options, Applied Mathematical Finance, vol.11, issue.2, pp.183-217, 2009. ,
DOI : 10.1109/TIT.1982.1056490
URL : https://hal.archives-ouvertes.fr/hal-00146739
Numerical methods for the pricing of Swing options: a stochastic control approach, Methodology and Computing in Applied Probability, vol.8, issue.4, pp.517-540, 2006. ,
URL : https://hal.archives-ouvertes.fr/inria-00117175
Valuation of American-Asian Options with the Longsta-Schwartz Algorithm, MSc Thesis in Computational Finance, 2003. ,
Discrete-time approximation of decoupled Forward???Backward SDE with jumps, Stochastic Processes and their Applications, pp.53-75, 2008. ,
DOI : 10.1016/j.spa.2007.03.010
URL : https://hal.archives-ouvertes.fr/hal-00362300
Monte-Carlo valorisation of American options: facts and new algorithms to improve existing methods, 2010. ,
URL : https://hal.archives-ouvertes.fr/hal-00486825
Improved lower and upper bound algorithms for pricing American options by simulation, Quantitative Finance, vol.9, issue.8, pp.845-861, 2008. ,
DOI : 10.1109/9.793723
Pricing Asset Scheduling Flexibility using Optimal Switching, Applied Mathematical Finance, vol.14, issue.5-6, pp.405-447, 2008. ,
DOI : 10.1137/S036301290038111X
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.380.4281
Valuation of energy storage: an optimal switching approach, Quantitative Finance, vol.35, issue.4, pp.359-374, 2010. ,
DOI : 10.1137/S036301290038111X
OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS, Mathematical Finance, vol.3767, issue.2, pp.239-268, 2008. ,
DOI : 10.2307/2331121
Combined stochastic control and optimal stopping , and application to numerical approximation of combined stochastic and impulse control, Tr. Mat. Inst. Steklova, vol.237, pp.149-172, 2000. ,
Discrete-time Approximation of Multidimensional BSDEs with oblique reections, 2010. ,
Contrôle stochastique et méthodes numériques en nance mathématique, 2008. ,
Constrained Backward SDEs with Jumps: Application to Optimal Switching, 2010. ,
On the moments of the modulus of continuity of Itô processes, Stochastic Analysis and Applications, pp.103-122, 2010. ,
Applications of Least-Squares Regressions to Pricing and Hedging of Financial Derivatives, 2008. ,
On the Starting and Stopping Problem: Application in Reversible Investments, Mathematics of Operations Research, vol.32, issue.1, pp.182-192, 2007. ,
DOI : 10.1287/moor.1060.0228
A Switching Problem and Related System of Reected Backward SDEs, Stochastic Processes and their applications, pp.403-426, 2010. ,
Multi-dimensional BSDE with oblique Reection and optimal switching, Probability Theory and Related Fields, pp.89-121, 2008. ,
DOI : 10.1007/s00440-009-0202-1
URL : http://arxiv.org/abs/0706.4365
Pricing of moving-average-type options with applications, Journal of Futures Markets, vol.3, issue.5, pp.425-440, 2003. ,
DOI : 10.1002/fut.10072
Backward SDEs with constrained jumps and quasi-variational inequalities, The Annals of Probability, vol.38, issue.2, pp.794-840, 2010. ,
DOI : 10.1214/09-AOP496
URL : https://hal.archives-ouvertes.fr/hal-00283407
Valuing American options by simulation: A simple Least Squares approach, Review of Financial Studies, vol.1, issue.14, pp.113-147, 2001. ,
Optimal Switching with Applications to Energy Tolling Agreements, 2005. ,
Distribution of a Stochastic Control Algorithm Applied to Gas Storage Valuation, 2007 IEEE International Symposium on Signal Processing and Information Technology, pp.485-490, 2007. ,
DOI : 10.1109/ISSPIT.2007.4458002
URL : https://hal.archives-ouvertes.fr/hal-00246680
Laguerre series approximation of infinite dimensional systems, Automatica, vol.26, issue.6, pp.985-995, 1990. ,
DOI : 10.1016/0005-1098(90)90083-T
Problems of Valuation and Organization in Energy Markets, 2008. ,
Impulse Control for Jump-Diusions: Viscosity Solutions of Quasi-Variational Inequalities and Applications in Bank Risk Management, 2009. ,
On the Laguerre Method for Numerically Inverting Laplace Tranforms, INFORMS Journal on Computing, vol.8, issue.4, 1996. ,
European market integration for gas? Volume flexibility and political risk, Energy Economics, vol.24, issue.3, pp.249-265, 2002. ,
DOI : 10.1016/S0140-9883(02)00003-8
Interruptible Electricity Contracts from an Electricity Retailer's Point of View: Valuation and Optimal Interruption, Operations Research, vol.54, issue.4, pp.627-642, 2006. ,
DOI : 10.1287/opre.1060.0303
A quantization algorithm for solving multidimensional discrete-time optimal stopping problems, Bernoulli, vol.9, issue.6, pp.1003-1049, 2003. ,
DOI : 10.3150/bj/1072215199
URL : https://hal.archives-ouvertes.fr/hal-00104798
Error analysis of the optimal quantization algorithm for obstacle problems, Stochastic Processes and Their Applications, pp.1-40, 2003. ,
DOI : 10.1016/S0304-4149(03)00026-7
URL : https://hal.archives-ouvertes.fr/hal-00103987
Understanding the valuation of swing contracts, Energy and Power Risk Management, 1996. ,
Optimal Quantization for the Pricing of Swing Options, Applied Mathematical Finance, vol.11, issue.2, pp.183-217, 2009. ,
DOI : 10.1109/TIT.1982.1056490
URL : https://hal.archives-ouvertes.fr/hal-00146739
WHEN ARE SWING OPTIONS BANG-BANG?, International Journal of Theoretical and Applied Finance, vol.13, issue.06, pp.867-899, 2010. ,
DOI : 10.1142/S0219024910006030
URL : https://hal.archives-ouvertes.fr/hal-00610170
Backward stochastic dierential equations and integral-partial dierential equations, Stochastics and Stochastics Reports, pp.57-83, 1997. ,
Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach, Methodology and Computing in Applied Probability, vol.30, issue.1, pp.517-540, 2006. ,
DOI : 10.1007/s11009-006-0427-8
URL : https://hal.archives-ouvertes.fr/inria-00117175
Lévy driven moving averages and semimartingales, Stochastic processes and their applications, pp.2970-2991, 2009. ,
DOI : 10.1016/j.spa.2009.03.007
URL : http://doi.org/10.1016/j.spa.2009.03.007
On the One-Dimensional Optimal Switching Problem, Mathematics of Operations Research, vol.35, issue.1, pp.140-159, 2010. ,
DOI : 10.1287/moor.1090.0432
Impulse control and quasi-variational inequalities, 1984. ,
Stochastic modelling of electricity and related markets, Advanced Series on Statistical Science and Applied Probability, vol.11, 2008. ,
Valuation of American-Asian Options with the Longsta-Schwartz Algorithm, MSc Thesis in Computational Finance, 2003. ,
Gas Storage Valuation Using a Monte Carlo Method, The Journal of Derivatives, vol.15, issue.3, pp.81-98, 2008. ,
DOI : 10.3905/jod.2008.702507
A stochastic target formulation for optimal switching problems in nite horizon, Stochastics, vol.81, issue.2, pp.171-197, 2009. ,
Discrete-time approximation for continuously and discretely reected BSDEs, Stochastic Processes and their Applications, pp.2269-2293, 2008. ,
Discrete-time approximation of decoupled Forward???Backward SDE with jumps, Stochastic Processes and their Applications, pp.53-75, 2008. ,
DOI : 10.1016/j.spa.2007.03.010
URL : https://hal.archives-ouvertes.fr/hal-00362300
Discrete-Time Approximation and Monte-Carlo Simulation of Backward Stochastic Dierential Equations, Stochastic Processes and their applications, pp.175-206, 2004. ,
Monte-Carlo valorisation of American options: facts and new algorithms to improve existing methods, 2010. ,
URL : https://hal.archives-ouvertes.fr/hal-00486825
Improved lower and upper bound algorithms for pricing American options by simulation, Quantitative Finance, vol.9, issue.8, pp.845-861, 2008. ,
DOI : 10.1109/9.793723
Valuation of Gas Storage: A Real Options Approach, 2003. ,
Optimal Multiple Stopping of Linear Diffusions, Mathematics of Operations Research, vol.33, issue.2, pp.446-460, 2008. ,
DOI : 10.1287/moor.1070.0301
Pricing Asset Scheduling Flexibility using Optimal Switching, Applied Mathematical Finance, vol.14, issue.5-6, pp.405-447, 2008. ,
DOI : 10.1137/S036301290038111X
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.380.4281
Valuation of energy storage: an optimal switching approach, Quantitative Finance, vol.35, issue.4, pp.359-374, 2010. ,
DOI : 10.1137/S036301290038111X
OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS, Mathematical Finance, vol.3767, issue.2, pp.239-268, 2008. ,
DOI : 10.2307/2331121
Combined stochastic control and optimal stopping , and application to numerical approximation of combined stochastic and impulse control, Tr. Mat. Inst. Steklova, vol.237, pp.149-172, 2000. ,
Moving average with Finite Dierence Approximation for Stochastic Optimal Stopping Problems with Delays, Journal of Industrial and Management Optimization, vol.4, issue.2, pp.227-246, 2008. ,
Discrete-time approximation of doubly reected BSDEs, Advances in Applied Probability, p.41, 2009. ,
Processus rééchis en nance et probabilités numériques, 2008. ,
Discrete-time Approximation of Multidimensional BSDEs with oblique reections, 2010. ,
A Semi-Lagrangian Approach for Natural Gas Storage Valuation and Optimal Operation, SIAM Journal on Scientific Computing, vol.30, issue.1, pp.339-368, 2007. ,
DOI : 10.1137/060672911
Implications of a regime-switching model on natural gas storage valuation and optimal operation, Quantitative Finance, vol.8, issue.2, pp.159-176, 2010. ,
DOI : 10.2307/2329512
An analysis of a least squares regression method for American option pricing, Finance and Stochastic, pp.448-471, 2002. ,
Energy derivatives: Pricing and risk management, 2000. ,
Financial modelling with jump processes, 2003. ,
DOI : 10.1201/9780203485217
URL : https://hal.archives-ouvertes.fr/hal-00002693
A lattice algorithm for pricing moving average barrier options, Journal of Economic Dynamics and Control, vol.34, issue.3, pp.542-554, 2010. ,
DOI : 10.1016/j.jedc.2009.10.008
A continuous time model to price commodity-based swing option, Review of derivatives research, pp.27-47, 2005. ,
Valuation of swing options and examination of exercise strategies by Monte Carlo techniques, Preprint, 2003. ,
To store or not to store, Energy Power Risk Management, 2003. ,
Natural Gas Storage Valuation and Optimization: A Real Options Application, Naval Research Logistics, vol.56, issue.3, pp.226-238, 2009. ,
Approximate recursive valuation of electricity swing options, Preprint, 2003. ,
Stochastic Impulse Control of Non-Markovian Processes, Applied Mathematics and Optimization, vol.14, issue.4, pp.1-26, 2010. ,
DOI : 10.1007/s00245-009-9070-4
A Finite Horizon Optimal Multiple Switching Problem, SIAM Journal on Control and Optimization, vol.48, issue.4, pp.2751-2770, 2010. ,
DOI : 10.1137/070697641
Principe du Stockage de Gaz en Cavités creusées dans le sel, 2001. ,
The Finite Horizon Optimal Multi-Modes Switching Problem: the Viscosity Solution Approach, Applied mathematics and optimization, pp.213-235, 2009. ,
Contrôle stochastique et méthodes numériques en nance mathématique, 2008. ,
Constrained Backward SDEs with Jumps: Application to Optimal Switching, 2010. ,
Optimal Stopping of Stochastic Dierential Equations with Delay Driven by Lévy Noise, Potential Analysis, 2010. ,
Pricing multiple interruptible-swing contracts, 2006. ,
On the moments of the modulus of continuity of Itô processes, Stochastic Analysis and Applications, pp.103-122, 2010. ,
Optimal stopping problem in a diusion-type model with delay, Stochastics and Probability Letters, pp.601-608, 2006. ,
A regression-based Monte Carlo method to solve backward stochastic differential equations, The Annals of Applied Probability, vol.15, issue.3, pp.2172-2202, 2005. ,
DOI : 10.1214/105051605000000412
Rate of convergence of empirical regression method for solving generalized BSDE, Bernoulli, vol.12, issue.5, pp.889-916, 2006. ,
Applications of Least-Squares Regressions to Pricing and Hedging of Financial Derivatives, 2008. ,
Swing option valuation using monte carlo simulations, 2004. ,
Recombining Trinomial Tree for Real Option Valuation with Changing Volatility, Working paper, 2010. ,
Simulation of Production and Injection Performance of Gas Storage Caverns in Salt Formations, SPE Reservoir Engineering, vol.9, issue.04, 1994. ,
DOI : 10.2118/26654-PA
On the Starting and Stopping Problem: Application in Reversible Investments, Mathematics of Operations Research, vol.32, issue.1, pp.182-192, 2007. ,
DOI : 10.1287/moor.1060.0228
The Starting and Stopping Problem under Knightian Uncertainty and Related Systems of Reected BSDEs, Preprint, 2007. ,
A Switching Problem and Related System of Reected Backward SDEs, Stochastic Processes and their applications, pp.403-426, 2010. ,
Injection/withdrawal scheduling for natural gas storage facilities, Proceedings of the 2007 ACM symposium on Applied computing , SAC '07, 2007. ,
DOI : 10.1145/1244002.1244080
Multi-dimensional BSDE with oblique Reection and optimal switching, Probability Theory and Related Fields, pp.89-121, 2008. ,
Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities, Mathematical Finance, vol.30, issue.2, pp.223-248, 2004. ,
DOI : 10.1023/A:1013846631785
Valuation of Commodity-Based Swing Options, Management Science, vol.50, issue.7, pp.909-921, 2004. ,
DOI : 10.1287/mnsc.1040.0240
Pricing of moving-average-type options with applications, Journal of Futures Markets, vol.3, issue.5, pp.425-440, 2003. ,
DOI : 10.1002/fut.10072
Value, trading strategies and nancial investment of natural gas storage assets, 2008. ,
Sur le comportement transitoire des cavités salines profondes: Etude numérique et interprétation des essais in situ, 2007. ,
Backward SDEs with constrained jumps and quasi-variational inequalities, The Annals of Probability, vol.38, issue.2, pp.794-840, 2010. ,
DOI : 10.1214/09-AOP496
URL : https://hal.archives-ouvertes.fr/hal-00283407
Pricing of Swing Options in a Mean Reverting Model with Jumps, Applied Mathematical Finance, vol.8, issue.5-6, pp.479-502, 2008. ,
DOI : 10.2307/2331121
Pricing Swing Options and other Electricity Derivatives, 2006. ,
An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation, Operations Research, vol.58, issue.3, pp.564-582, 2010. ,
DOI : 10.1287/opre.1090.0768
Valuation of the Real Option to Store Liqueed Natural Gas at a Regasication Terminal, 2010. ,
Competitive Monte Carlo methods for the pricing of Asian options, The Journal of Computational Finance, vol.5, issue.1, 2001. ,
DOI : 10.21314/JCF.2001.061
A discrete valuation of swing options, Canadian Applied Mathematics Quarterly, vol.9, issue.1, pp.35-74, 2001. ,
Synthesis of Electric Networks by Means of the Fourier Transforms of Laguerre's Functions, Journal of Mathematics and Physics, vol.11, issue.1-4, pp.83-113, 1932. ,
DOI : 10.1002/sapm193211183
Approximation par projections et simulations de Monte-Carlo des équations diérentielles stochastiques rétrogrades, 2005. ,
Valuation of Commodity-Based Swing Options: A survey, 2008. ,
Valuing American options by simulation: A simple Least Squares approach, Review of Financial Studies, vol.1, issue.14, pp.113-147, 2001. ,
Optimal Switching with Applications to Energy Tolling Agreements, 2005. ,
FINANCIAL HEDGING OF OPERATIONAL FLEXIBILITY, International Journal of Theoretical and Applied Finance, vol.11, issue.08, pp.799-839, 2008. ,
DOI : 10.1142/S0219024908005044
A model of optimal portfolio selection under liquidity risk and price impact, Finance and Stochastics, vol.11, issue.1, pp.51-90, 2007. ,
DOI : 10.1007/s00780-006-0025-1
URL : https://hal.archives-ouvertes.fr/hal-00011190
Optimal switching over multiple regimes, SIAM Journal on Control and Optimization, vol.48, issue.4, pp.2217-2253, 2009. ,
URL : https://hal.archives-ouvertes.fr/hal-00192151
Representations and regularities for solutions to BSDEs with reections, Stochastic Processes And Their Applications, pp.539-569, 2005. ,
Distribution of a Stochastic Control Algorithm Applied to Gas Storage Valuation, 2007 IEEE International Symposium on Signal Processing and Information Technology, pp.485-490, 2007. ,
DOI : 10.1109/ISSPIT.2007.4458002
URL : https://hal.archives-ouvertes.fr/hal-00246680
Laguerre series approximation of infinite dimensional systems, Automatica, vol.26, issue.6, pp.985-995, 1990. ,
DOI : 10.1016/0005-1098(90)90083-T
On approximation of stable linear dynamical systems using Laguerre and Kautz functions, Automatica, vol.32, issue.5, pp.693-708, 1996. ,
STORAGE OPTIONS VALUATION USING MULTILEVEL TREES AND CALENDAR SPREADS, International Journal of Theoretical and Applied Finance, vol.07, issue.04, pp.425-464, 2004. ,
DOI : 10.1142/S0219024904002517
Analyse numérique de problèmes de contrôle stochastique, 2005. ,
MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE-EXERCISE OPTIONS, Mathematical Finance, vol.45, issue.4, pp.557-583, 2004. ,
DOI : 10.1109/72.935083
Applied stochastic control of jump diusions, 2006. ,
An Eecient Pricing Algorithm for Swing Options Based on Fourier Cosine Expansions, 2010. ,
Choice of time scale in Laguerre approximations using signal measurements, IEEE Transactions on Automatic Control, vol.16, issue.5, pp.511-513, 1971. ,
DOI : 10.1109/TAC.1971.1099780
Valuing commodity storage contracts: A two-factor tree approach, 2005. ,
Continuous-time Stochastic Control and Optimization with Financial Applications, Series on Stochastic Modelling and Applied Probability, 2009. ,
DOI : 10.1007/978-3-540-89500-8
URL : https://hal.archives-ouvertes.fr/hal-00401892
Problems of Valuation and Organization in Energy Markets, 2008. ,
On Émery's inequality and a variation-of-constants formula, Stochastic Analysis and Applications, pp.353-379, 2007. ,
On the Structure of a Swing Contract's Optimal Value and Optimal Strategy, Journal of Applied Probability, vol.1, issue.01, pp.1-15, 2008. ,
DOI : 10.1111/j.1540-6261.1997.tb02721.x
Optimal Commodity Trading with a Capacitated Storage Asset, Management Science, vol.56, issue.3, pp.449-467, 2010. ,
DOI : 10.1287/mnsc.1090.1049
Impulse Control for Jump-Diusions: Viscosity Solutions of Quasi-Variational Inequalities and Applications in Bank Risk Management, 2009. ,
Stochastic Calculus and Finance, 1997. ,
Improved method for optimum choice of free parameter in orthogonal approximations, IEEE Transactions on Signal Processing, vol.47, issue.9, p.47, 1999. ,
DOI : 10.1109/78.782210
URL : https://hal.archives-ouvertes.fr/hal-00488095
Valuation of swing options using an extended least squares Lonte Carlo algorithm, 2005. ,
Regression methods for pricing complex American-style options, IEEE Transactions on Neural Networks, vol.12, issue.4, pp.694-703, 2001. ,
DOI : 10.1109/72.935083
Modèles de valorisation d'actif de stockage gaz, 2007. ,
Finite element valuation of swing options, The Journal of Computational Finance, vol.11, issue.3, 2008. ,
DOI : 10.21314/JCF.2008.191
The stochastic rotation problem: A generalization of Faustmann's formula to stochastic forest growth, Journal of Economic Dynamics and Control, vol.22, issue.4, pp.573-596, 1998. ,
DOI : 10.1016/S0165-1889(97)00071-7
The mathematics of nancial derivatives, 1995. ,
Seasonal Energy Storage Operations with Limited Flexibility, SSRN Electronic Journal, 2010. ,
DOI : 10.2139/ssrn.1911376
OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN L??VY MODELS, International Journal of Theoretical and Applied Finance, vol.09, issue.08, pp.1267-1297, 2006. ,
DOI : 10.1142/S0219024906004037
A numerical scheme for BSDEs, The Annals of Applied Probability, vol.14, issue.1, pp.459-488, 2004. ,
DOI : 10.1214/aoap/1075828058
Real options valuation in energy markets, 2010. ,