Pricing swing options in the electricity markets under regime-switching uncertainty

DOI10.1080/14697680903547899zbMATH Open1210.91125OpenAlexW1967533682MaRDI QIDQ2994840FDOQ2994840

Authors:

Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903547899

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zbMATH Keywords

swing optionelectricity marketmean-reverting processregime-switching process

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Cites Work

• Multinomial Approximating Models for Options with k State Variables
• Valuing American options by simulation: a simple least-squares approach
• Option pricing: A simplified approach
• Electricity prices and power derivatives: evidence from the Nordic Power Exchange
• Basics of electricity derivative pricing in competitive markets
• Valuation of Commodity-Based Swing Options
• Real options and product life cycles
• A lattice approach for pricing of multivariate contingent claims

Cited In (14)

• The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
• Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
• A local radial basis function method for pricing options under the regime switching model
• Modelling spikes and pricing swing options in electricity markets
• The concavity of the payoff function of a swing option in a binomial model
• Pricing and risk of swing contracts in natural gas markets
• RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
• Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
• Valuation of swing options in electricity commodity markets.
• Valuation of swing options under a regime-switching mean-reverting model
• Swing options in commodity markets: a multidimensional Lévy diffusion model
• A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
• A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
• A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes

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