Recommendations
- When are swing options bang-bang?
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- A general optimal multiple stopping problem with an application to swing options
- Swing Option Pricing by Optimal Exercise Boundary Estimation
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
Cites work
- scientific article; zbMATH DE number 3705259 (Why is no real title available?)
- scientific article; zbMATH DE number 43732 (Why is no real title available?)
- scientific article; zbMATH DE number 1391030 (Why is no real title available?)
- The pricing of options and corporate liabilities
- Variational inequalities and the pricing of American options
Cited in
(15)- Valuation of swing options under a regime-switching mean-reverting model
- A continuous time model to price commodity-based swing options
- When are swing options bang-bang?
- The concavity of the payoff function of a swing option in a binomial model
- Swing options valuation: a BSDE with constrained jumps approach
- Pricing swing options with typical constraints
- Hedging of swing game options in continuous time
- A general optimal multiple stopping problem with an application to swing options
- Dual pricing of multi-exercise options under volume constraints
- On the optimal exercise boundaries of swing put options
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options
- Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions
- The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
- A dual approach to multiple exercise option problems under constraints
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