A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes

Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic programming (90C39) Optimal stochastic control (93E20) Jump processes on discrete state spaces (60J74)

Cites Work

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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
Arbitrage Theory in Continuous Time
Continuous-time stochastic control and optimization with financial applications
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Dynamic programming for a Markov-switching jump-diffusion
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Electricity prices and power derivatives: evidence from the Nordic Power Exchange
A regime switching long memory model for electricity prices
Option pricing under regime-switching jump-diffusion models
Decision making under uncertainty in electricity markets
Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
Optimal Quantization for the Pricing of Swing Options
Computational Science - ICCS 2004
When are swing options bang-bang?
A tree approach to options pricing under regime-switching jump diffusion models
Valuation of Commodity-Based Swing Options
Numerical methods for the pricing of swing options: a stochastic control approach
The Nature of Power Spikes: A Regime-Switch Approach
A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
Convergence rates of trinomial tree methods for option pricing under regime-switching models
Option pricing with regime switching by trinomial tree method
Convergence rate of regime-switching trees
MULTI-FACTOR JUMP-DIFFUSION MODELS OF ELECTRICITY PRICES
Pricing of Swing Options in a Mean Reverting Model with Jumps
Pricing swing options in the electricity markets under regime-switching uncertainty
A recombining tree method for option pricing with state-dependent switching rates
A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes
Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates

Cited In (2)

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

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