A practical view on valuation of multi-exercise American style options in gas and electricity markets

DOI10.1007/978-3-642-25746-9_11MaRDI QIDQ2917439zbMATH OpenOpenAlexFDO

Authors Klaus Wiebauer

Publication date 28 September 2012

Published in Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-25746-9_11

zbMATH Keywords

option pricingnumerical methodsswing optionsmulti-exercise optionsleast squares Monte Carloenergy derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Recommendations

• A dual approach to multiple exercise option problems under constraints
• Valuation of Commodity-Based Swing Options
• Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• STORAGE OPTIONS VALUATION USING MULTILEVEL TREES AND CALENDAR SPREADS

Cites work

• A spot market model for pricing derivatives in electricity markets
• Numerical methods for the pricing of swing options: a stochastic control approach
• The pricing of options and corporate liabilities

Cited in

(1)

• Short-Term Generation Asset Valuation: A Real Options Approach

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