THE SWING OPTION ON THE STOCK MARKET

DOI10.1142/S0219024905002895zbMATH Open1100.91042MaRDI QIDQ4675835FDOQ4675835

Authors: Martin Dahlgren, Ralf Korn 

Publication date: 6 May 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

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zbMATH Keywords

option pricingHJB variational inequalitiesOptimal stopping problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

• The pricing of options and corporate liabilities
• Variational inequalities and the pricing of American options
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Cited In (14)

• The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
• Hedging of swing game options in continuous time
• A continuous time model to price commodity-based swing options
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• The concavity of the payoff function of a swing option in a binomial model
• Dual pricing of multi-exercise options under volume constraints
• Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
• A dual approach to multiple exercise option problems under constraints
• Forest of stochastic meshes: a new method for valuing high-dimensional swing options
• When are swing options bang-bang?
• Valuation of swing options under a regime-switching mean-reverting model
• Swing options valuation: a BSDE with constrained jumps approach
• Pricing swing options with typical constraints
• A general optimal multiple stopping problem with an application to swing options

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