THE SWING OPTION ON THE STOCK MARKET

DOI10.1142/S0219024905002895zbMath1100.91042MaRDI QIDQ4675835

Martin Dahlgren, Ralf Korn

Publication date: 6 May 2005

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

zbMATH Keywords

option pricingHJB variational inequalitiesOptimal stopping problem

Mathematics Subject Classification ID

Related Items (6)

The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model ⋮ A General Optimal Multiple Stopping Problem with an Application to Swing Options ⋮ Forest of stochastic meshes: a new method for valuing high-dimensional swing options ⋮ A continuous time model to price commodity-based swing options ⋮ Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions ⋮ Valuation of swing options under a regime-switching mean-reverting model

Cites Work

• The Pricing of Options and Corporate Liabilities
• Variational inequalities and the pricing of American options
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