scientific article; zbMATH DE number 2096574
From MaRDI portal
Publication:4810486
Recommendations
- Valuation of Commodity-Based Swing Options
- Pricing of Swing Options in a Mean Reverting Model with Jumps
- Swing Option Pricing by Optimal Exercise Boundary Estimation
- Valuation of swing options under a regime-switching mean-reverting model
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options
Cited in
(24)- Modelling and numerical valuation of power derivatives in energy markets
- Swing Option Pricing by Optimal Exercise Boundary Estimation
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options
- A multilevel Monte Carlo method for the valuation of swing options
- Swing option pricing consistent with futures smiles
- Swing contract pricing: with and without neural networks
- Discrete time modeling of mean-reverting stochastic processes for real option valuation
- Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
- Numerical methods for the pricing of swing options: a stochastic control approach
- Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
- Static-arbitrage upper bounds for the prices of basket options
- Optimal Quantization for the Pricing of Swing Options
- scientific article; zbMATH DE number 5499145 (Why is no real title available?)
- Valuation of electricity swing options by multistage stochastic programming
- Swing option pricing by dynamic programming with b-spline density projection
- On the Structure of a Swing Contract's Optimal Value and Optimal Strategy
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
- Static-arbitrage optimal subreplicating strategies for basket options
- Valuation of Commodity-Based Swing Options
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
- Option valuation by using discrete singular convolution
- Distributed energy resources flexibility as volumetric options on electricity
- Electricity swing options: behavioral models and pricing
- Commodity and financial swing option pricing model and numerical analysis
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4810486)