The Evaluation of Gas Swing Contracts with Regime Switching

DOI10.1007/978-1-4614-3433-7_9zbMath1296.91261OpenAlexW120241668MaRDI QIDQ2920957

Carl Chiarella, Les Clewlow, Boda Kang

Publication date: 29 September 2014

Published in: Topics in Numerical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-3433-7_9

Mathematics Subject Classification ID

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

Related Items (3)

Optimal Portfolio in a Regime-switching Model ⋮ The concavity of the payoff function of a swing option in a binomial model ⋮ THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING

Cites Work

• Numerical methods for the pricing of swing options: a stochastic control approach
• Optimal Quantization for the Pricing of Swing Options
• Valuation of energy storage: an optimal switching approach

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