Valuation of swing options under a regime-switching mean-reverting model

DOI10.1155/2019/5796921zbMATH Open1435.91190OpenAlexW2909748763MaRDI QIDQ2298579FDOQ2298579

Authors: Lingjie Shao, Kaili Xiang 

Publication date: 20 February 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/5796921

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Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• A jump-diffusion model for option pricing
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• Electricity derivatives
• Analysis of time series subject to changes in regime
• Dynamic linear models with Markov-switching
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• On the Structure of a Swing Contract's Optimal Value and Optimal Strategy
• Computational Science - ICCS 2004
• 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
• Pricing Asian options and equity-indexed annuities with regime switching by the trinomial tree method
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• Dual pricing of multi-exercise options under volume constraints
• A dual approach to multiple exercise option problems under constraints
• A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
• Valuation of electricity swing options by multistage stochastic programming
• A continuous time model to price commodity-based swing options
• Pricing of Swing Options in a Mean Reverting Model with Jumps
• THE SWING OPTION ON THE STOCK MARKET
• Forest of stochastic meshes: a new method for valuing high-dimensional swing options
• Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach
• Efficient estimation of Markov regime-switching models: an application to electricity spot prices
• Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
• Pricing swing options in the electricity markets under regime-switching uncertainty
• On the optimal exercise boundaries of swing put options
• Using Affine Jump Diffusion Models for Modelling and Pricing Electricity Derivatives

Cited In (7)

• The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
• Pricing of Swing Options in a Mean Reverting Model with Jumps
• Title not available (Why is that?)
• Title not available (Why is that?)
• Valuation of Commodity-Based Swing Options
• Swing options in commodity markets: a multidimensional Lévy diffusion model
• Efficient Stochastic Programming Techniques for Electricity Swing Options

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