A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
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Publication:2199786
DOI10.1016/j.cam.2020.113132zbMath1448.91290OpenAlexW3047279105MaRDI QIDQ2199786
Zaniar Ahmadi, Ali Foroush Bastani, Mohammed Hosseini Ali Abadi
Publication date: 14 September 2020
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2020.113132
dynamic programmingswing optionelectricity spot priceleast-squares Monte Carlo (LSM)trinomial tree method
Dynamic programming (90C39) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)
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