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

DOI10.1155/2019/5796921MaRDI QIDQ2298579zbMATH OpenOpenAlexFDO

Authors Lingjie Shao, Kaili Xiang

Publication date 20 February 2020

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

Copyright license Creative Commons Attribution 4.0 International

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

Mathematics Subject Classification ID

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

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• The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
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Cites work

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

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
• scientific article; zbMATH DE number 2096574 (Why is no real title available?)
• scientific article; zbMATH DE number 5499145 (Why is no real title available?)
• 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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