Comparison of least squares Monte Carlo methods with applications to energy real options
详细信息 查看全文
- 作者：Selvaprabu Nadarajah ; a ; selvan@uic.edu" class="auth_mail" title="E-mail the corresponding author ; Franç ; ois Margotb ; fmargot@andrew.cmu.edu" class="auth_mail" title="E-mail the corresponding author ; Nicola Secomandib ; ns7@andrew.cmu.edu" class="auth_mail" title="E-mail the corresponding author
- 关键词：Energy ; Real options ; Least-squares Monte Carlo ; Approximate dynamic programming ; Information relaxation and duality
- 刊名：European Journal of Operational Research
- 出版年：2017
- 出版时间：1 January 2017
- 年：2017
- 卷：256
- 期：1
- 页码：196-204
- 全文大小：647 K
文摘
- class="listitem" id="list_celist0002">
- class="label">•
We apply regress-now/later least squares Monte Carlo (LSMN/L) to energy real options.
- class="label">•
LSMN/L compute continuation/value function approximations (C/VFAs).
- class="label">•
These C/VFAs yield tight lower and dual (upper) bounds (LBs and DBs).
- class="label">•
Estimating the LSMN/L C/VFAs and associated LBs incurs similar computational effort.
- class="label">•
Estimating DBs based on VFAs instead of CFAs takes seconds rather than minutes/hours.