On the Structure of a Swing Contract's Optimal Value and Optimal Strategy

DOI10.1239/JAP/1208358947zbMATH Open1134.91391OpenAlexW1968016630MaRDI QIDQ5459904FDOQ5459904

Sheldon M. Ross, Zegang Zhu

Publication date: 30 April 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1208358947

Recommendations

• When are swing options bang-bang?
• Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem
• Electricity swing options: behavioral models and pricing
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• A continuous time model to price commodity-based swing options

zbMATH Keywords

American call optionoptimal strategysubmodularsupermodularswing contract

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Auctions, bargaining, bidding and selling, and other market models (91B26) Markov and semi-Markov decision processes (90C40)

Cites Work

• Title not available (Why is that?)
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• Title not available (Why is that?)
• Valuation of Commodity-Based Swing Options
• Title not available (Why is that?)

Cited In (7)

• A continuous time model to price commodity-based swing options
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• PERFECT AND PARTIAL HEDGING FOR SWING GAME OPTIONS IN DISCRETE TIME
• Range contracts: risk sharing and beyond
• Optimal Quantization for the Pricing of Swing Options
• Title not available (Why is that?)
• Valuation of swing options under a regime-switching mean-reverting model

This page was built for publication: On the Structure of a Swing Contract's Optimal Value and Optimal Strategy

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5459904)