The Evaluation of Gas Swing Contracts with Regime Switching
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Publication:2920957
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
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
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