Efficient pricing of swing options in Lévy-driven models
DOI10.1080/14697688.2012.717708zbMATH Open1281.91167OpenAlexW2039378239MaRDI QIDQ5397406FDOQ5397406
Authors: Oleg Kudryavtsev, Antonino Zanette 
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2012.717708
Recommendations
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
- Swing options in commodity markets: a multidimensional Lévy diffusion model
- Swing option pricing by dynamic programming with b-spline density projection
- Pricing swing options with typical constraints
- Pricing of Swing Options in a Mean Reverting Model with Jumps
option pricingnumerical methodAmerican optionsfinite difference methodsWiener-Hopf factorizationswing optionsenergy derivatives
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)
Cites Work
- A jump-diffusion model for option pricing
- OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
- Title not available (Why is that?)
- Processes of normal inverse Gaussian type
- The Variance Gamma Process and Option Pricing
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- Fast and accurate pricing of barrier options under Lévy processes
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
- Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
- Feller processes of normal inverse Gaussian type
- CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
- Randomization and the American put
- American options: the EPV pricing model
- Valuation of Commodity-Based Swing Options
- Numerical methods for the pricing of swing options: a stochastic control approach
- American options in regime-switching models
- Maturity randomization for stochastic control problems
Cited In (11)
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
- Swing option pricing consistent with futures smiles
- Swing Option Pricing by Optimal Exercise Boundary Estimation
- Closed-form option pricing for exponential Lévy models: a residue approach
- Monte Carlo method for pricing lookback type options in Lévy models
- A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS
- Optimal Quantization for the Pricing of Swing Options
- Swing option pricing by dynamic programming with b-spline density projection
- Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
- Approximate Wiener-Hopf factorization and Monte Carlo methods for Lévy processes
- Swing options in commodity markets: a multidimensional Lévy diffusion model
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