Efficient pricing of swing options in Lévy-driven models

DOI10.1080/14697688.2012.717708MaRDI QIDQ5397406zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

option pricingnumerical methodAmerican optionsfinite difference methodsWiener-Hopf factorizationswing optionsenergy derivatives

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

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

Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A Fast and Accurate FFT-Based Method for Pricing Early-Exercise Options under Lévy Processes
• A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
• A jump-diffusion model for option pricing
• American options in regime-switching models
• American options: the EPV pricing model
• CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
• Convergence of numerical schemes for viscosity solutions to integro-differential degenerate parabolic problems arising in financial theory
• Fast and accurate pricing of barrier options under Lévy processes
• Feller processes of normal inverse Gaussian type
• Maturity randomization for stochastic control problems
• Numerical methods for the pricing of swing options: a stochastic control approach
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
• OPTION PRICING FOR TRUNCATED LÉVY PROCESSES
• Processes of normal inverse Gaussian type
• Randomization and the American put
• The Variance Gamma Process and Option Pricing
• Valuation of Commodity-Based Swing Options

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
• Swing options in commodity markets: a multidimensional Lévy diffusion model
• Approximate Wiener-Hopf factorization and Monte Carlo methods for Lévy processes

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