A continuous time model to price commodity-based swing options
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Cites work
- Arbitrage Theory in Continuous Time
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- Optimal sale strategies in illiquid markets
- Some applications of impulse control in mathematical finance
- The Solution of a Quadratic Programming Problem Using Systematic Overrelaxation
- THE SWING OPTION ON THE STOCK MARKET
- Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
- Valuation of Commodity-Based Swing Options
Cited in
(20)- Valuation of swing options under a regime-switching mean-reverting model
- Pricing and risk of swing contracts in natural gas markets
- Swing options in commodity markets: a multidimensional Lévy diffusion model
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- When are swing options bang-bang?
- The concavity of the payoff function of a swing option in a binomial model
- Swing options valuation: a BSDE with constrained jumps approach
- Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem
- Commodity and financial swing option pricing model and numerical analysis
- Hedging swing options
- Valuation of Commodity-Based Swing Options
- Pricing of Swing Options in a Mean Reverting Model with Jumps
- Swing option pricing by dynamic programming with b-spline density projection
- On the Structure of a Swing Contract's Optimal Value and Optimal Strategy
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options
- Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process
- Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in power markets
- The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
- The sensitivity of commodity markets to exchange operations such as swing
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
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