A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS

DOI10.1111/mafi.12096zbMath1414.91362arXiv1402.6444OpenAlexW2150477532MaRDI QIDQ5283407

Christian Bender, Nikolai G. Dokuchaev

Publication date: 21 July 2017

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1402.6444

zbMATH Keywords

optimal stoppingstochastic optimal controlswing optionsdual minimization problemfirst-order backward stochastic partial differential equationpathwise differential inclusion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (2)

On degenerate backward SPDEs in bounded domains under non-local conditions ⋮ Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations

Cites Work

• Dual pricing of multi-exercise options under volume constraints
• Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem
• Information Relaxations and Duality in Stochastic Dynamic Programs
• Probabilistic aspects of finite-fuel stochastic control
• Equivalent models for finite-fuel stochastic control
• CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY
• Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
• A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING

This page was built for publication: A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS