Swing Option Pricing by Optimal Exercise Boundary Estimation (Q2917444)

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Swing Option Pricing by Optimal Exercise Boundary Estimation
scientific article

    Statements

    title
    Swing Option Pricing by Optimal Exercise Boundary Estimation (English)
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    author
    François Turboult
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    Yassine Youlal
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    publication date
    28 September 2012
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    zbMATH Keywords
    Monte Carlo
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    optimal exercise boundary
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    swing options
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C05
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    91G20
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    91G99
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    zbMATH DE Number
    6088208
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