Hedging swing options
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Cites work
- A continuous time model to price commodity-based swing options
- Adapted solution of a backward stochastic differential equation
- Backward Stochastic Differential Equations in Finance
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Numerical methods for the pricing of swing options: a stochastic control approach
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- Optimal multiple stopping of linear diffusions
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Valuation of Commodity-Based Swing Options
- Valuing American options by simulation: a simple least-squares approach
Cited in
(10)- Valuation of electricity swing options by multistage stochastic programming
- Electricity swing options: behavioral models and pricing
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- Valuation of swing options in electricity commodity markets.
- Modelling spikes and pricing swing options in electricity markets
- Pricing of Swing Options in a Mean Reverting Model with Jumps
- Efficient Stochastic Programming Techniques for Electricity Swing Options
- Electricity derivatives
- Pricing of fixed budget contingent claims in competitive electricity markets
- Hedging electricity swaptions using partial integro-differential equations
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