A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
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Publication:2199786
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Cites work
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- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes
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- Numerical methods for the pricing of swing options: a stochastic control approach
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- Optimal Quantization for the Pricing of Swing Options
- Optimal control of stochastic hybrid system with jumps: a numerical approximation
- Option pricing under regime-switching jump-diffusion models
- Option pricing when underlying stock returns are discontinuous
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- Pricing of Swing Options in a Mean Reverting Model with Jumps
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- Valuation of Commodity-Based Swing Options
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Cited in
(5)- The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
- On the Convergence of a Crank-Nicolson Fitted Finite Volume Method for Pricing European Options under Regime-Switching Kou’s Jump-Diffusion Models
- A lattice method for option pricing with two underlying assets in the regime-switching model
- Swing option pricing by dynamic programming with b-spline density projection
- Commodity and financial swing option pricing model and numerical analysis
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