Swing option-implied volatility

DOI10.1007/S11147-025-09214-7MaRDI QIDQ6882911zbMATH OpenFDO

Authors Hendrik Kohrs, Hermann Mühlichen, Benjamin R. Auer

Publication date 16 December 2025

Published in Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

swing optionimplied volatilitynatural gasleast squares Monte Carloroot-finding convergence

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic programming (90C39)

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