Pricing swing options in the electricity markets under regime-switching uncertainty
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Publication:2994840
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Cites work
- A lattice approach for pricing of multivariate contingent claims
- Basics of electricity derivative pricing in competitive markets
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Multinomial Approximating Models for Options with k State Variables
- Option pricing: A simplified approach
- Real options and product life cycles
- Valuation of Commodity-Based Swing Options
- Valuing American options by simulation: a simple least-squares approach
Cited in
(14)- Swing options in commodity markets: a multidimensional Lévy diffusion model
- A comparison of regime-switching temperature modeling approaches for applications in weather derivatives
- The concavity of the payoff function of a swing option in a binomial model
- The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
- Pricing and risk of swing contracts in natural gas markets
- Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
- RBF-FD based some implicit-explicit methods for pricing option under regime-switching jump-diffusion model with variable coefficients
- Valuation of swing options under a regime-switching mean-reverting model
- A local radial basis function method for pricing options under the regime switching model
- Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model
- Modelling spikes and pricing swing options in electricity markets
- Valuation of swing options in electricity commodity markets.
- 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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