Pricing of Swing Options in a Mean Reverting Model with Jumps (Q3617306)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5530845
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Pricing of Swing Options in a Mean Reverting Model with Jumps |
scientific article; zbMATH DE number 5530845 |
Statements
Pricing of Swing Options in a Mean Reverting Model with Jumps (English)
0 references
23 March 2009
0 references
energy derivatives
0 references
swing options
0 references
jump diffusions
0 references
parabolic pides
0 references
finite differences
0 references
0 references
0 references
0 references
0.880818784236908
0 references
0.8720523118972778
0 references
0.8649855256080627
0 references
0.8545305728912354
0 references
0.8362656235694885
0 references
