A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING

DOI10.1111/MAFI.12067zbMath1391.91154arXiv1305.3988OpenAlexW2951379841MaRDI QIDQ5739185

Christian Bender, Nikolai G. Dokuchaev

Publication date: 15 July 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1305.3988

zbMATH Keywords

stochastic optimal controlbackward stochastic partial differential equationsswing options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (9)

A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS ⋮ Neumann problem for backward SPDEs with singular terminal conditions and application in constrained stochastic control under target zone ⋮ Pricing Options under Rough Volatility with Backward SPDEs ⋮ On degenerate backward SPDEs in bounded domains under non-local conditions ⋮ First Order BSPDEs in Higher Dimension for Optimal Control Problems ⋮ Optimal Control of Infinite-Dimensional Differential Systems with Randomness and Path-Dependence and Stochastic Path-Dependent Hamilton–Jacobi Equations ⋮ Viscosity Solutions of Stochastic Hamilton--Jacobi--Bellman Equations ⋮ Controlled ordinary differential equations with random path-dependent coefficients and stochastic path-dependent Hamilton-Jacobi equations ⋮ Degenerate backward SPDEs in bounded domains and applications to barrier options

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