A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes (Q2199786)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes |
scientific article; zbMATH DE number 7246897
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes |
scientific article; zbMATH DE number 7246897 |
Statements
A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes (English)
0 references
14 September 2020
0 references
swing option
0 references
electricity spot price
0 references
dynamic programming
0 references
trinomial tree method
0 references
least-squares Monte Carlo (LSM)
0 references
0 references
0 references
0 references
0 references
0 references
0.93050396
0 references
0.9197008
0 references
0.91572285
0 references
0.9022393
0 references
0.9005207
0 references
0.90045655
0 references
0.9000674
0 references
0.89499587
0 references
0.89487517
0 references
