Swing option-implied volatility
From MaRDI portal
Cites work
- scientific article; zbMATH DE number 3126094 (Why is no real title available?)
- scientific article; zbMATH DE number 1502618 (Why is no real title available?)
- scientific article; zbMATH DE number 823069 (Why is no real title available?)
- A multilevel Monte Carlo method for the valuation of swing options
- A new technique for calibrating stochastic volatility models: the Malliavin gradient method
- A review of the operations literature on real options in energy
- A review on implied volatility calculation
- A review on regression-based Monte Carlo methods for pricing American options
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach
- An analysis of a least squares regression method for American option pricing
- Applied functional analysis. Functional analysis, Sobolev spaces and elliptic differential equations
- Assessing the least squares Monte-Carlo approach to American option valuation
- Bias in the estimation of the mean reversion parameter in continuous time models
- Comparison of least squares Monte Carlo methods with applications to energy real options
- Delta hedging strategies comparison
- Estimating Security Price Derivatives Using Simulation
- IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
- Newton methods for nonlinear problems. Affine invariance and adaptive algorithms.
- Number of paths versus number of basis functions in American option pricing
- Numerical Methods in Finance and Economics
- Numerical methods for the pricing of swing options: a stochastic control approach
- On inferring standard deviations from path dependent options
- On the Theory of Dynamic Programming
- On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives
- On the seasonality in the implied volatility of electricity options
- Pricing and risk of swing contracts in natural gas markets
- Real options in operations research: a review
- Sensitivity analysis of energy contracts by stochastic programming techniques
- The bias in Black-Scholes/Black implied volatility: an analysis of equity and energy markets
- The pricing of options and corporate liabilities
- The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
- Théorie de la spéculation.
- Valuation of Commodity-Based Swing Options
- Valuing American options by simulation: a simple least-squares approach
- WHEN IS THE SHORT RATE MARKOVIAN?
- When are swing options bang-bang?
This page was built for publication: Swing option-implied volatility
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6882911)
