Valuation of Commodity-Based Swing Options
From MaRDI portal
Recommendations
- Valuation of swing options in electricity commodity markets.
- Commodity and financial swing option pricing model and numerical analysis
- A continuous time model to price commodity-based swing options
- scientific article; zbMATH DE number 2096574
- Swing options in commodity markets: a multidimensional Lévy diffusion model
- Valuation of swing options under a regime-switching mean-reverting model
- Pricing commodity index options
- Pricing swing options with typical constraints
- scientific article; zbMATH DE number 2011659
Cited in
(86)- Valuation of electricity swing options by multistage stochastic programming
- Electricity swing options: behavioral models and pricing
- Risk-hedging in real estate markets
- An optimal multiple stopping approach to infrastructure investment decisions
- Relationship between least squares Monte Carlo and approximate linear programming
- Comparison of least squares Monte Carlo methods with applications to energy real options
- A pure martingale dual for multiple stopping
- Optimal oil production and the world supply of oil
- Utility indifference pricing and hedging for structured contracts in energy markets
- A deep learning model for gas storage optimization
- A new deep neural network algorithm for multiple stopping with applications in options pricing
- Volatility uncertainty quantification in a stochastic control problem applied to energy
- A real options approach for joint overhaul and replacement strategies with mean reverting prices
- Zero-sum stochastic differential game in finite horizon involving impulse controls
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
- Valuation of swing options under a regime-switching mean-reverting model
- A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes
- Discrete time modeling of mean-reverting stochastic processes for real option valuation
- Optimal exercise strategies for operational risk insurance via multiple stopping times
- Pricing and risk of swing contracts in natural gas markets
- Wireless network capacity management: a real options approach
- Swing options in commodity markets: a multidimensional Lévy diffusion model
- A continuous time model to price commodity-based swing options
- Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- When are swing options bang-bang?
- The evaluation of multiple year gas sales agreement with regime switching
- Optimal multiple stopping with random waiting times
- Valuation of swing options in electricity commodity markets.
- A practical view on valuation of multi-exercise American style options in gas and electricity markets
- Gas storage hedging
- The evaluation of gas swing contracts with regime switching
- Pricing swing options in the electricity markets under regime-switching uncertainty
- How to speed up the quantization tree algorithm with an application to swing options
- Hedging swing options
- Perfect and partial hedging for swing game options in discrete time
- Optimal Quantization for the Pricing of Swing Options
- Modelling spikes and pricing swing options in electricity markets
- Valuation of energy storage: an optimal switching approach
- Pricing of Swing Options in a Mean Reverting Model with Jumps
- Hydropower with Financial Information*
- A Lattice‐Based Method for Pricing Electricity Derivatives Under the Threshold Model
- Natural gas storage valuation and optimization: A real options application
- Efficient Stochastic Programming Techniques for Electricity Swing Options
- Gas storage valuation applying numerically constructed recombining trees
- A unified approach to multiple stopping and duality
- A discrete time approach for modeling two-factor mean-reverting stochastic processes
- scientific article; zbMATH DE number 2096574 (Why is no real title available?)
- Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
- Dual pricing of multi-exercise options under volume constraints
- Modelling and numerical valuation of power derivatives in energy markets
- Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
- Asset selling under debt obligations
- Infinite horizon stochastic impulse control with delay and random coefficients
- Pricing renewable identification numbers under uncertainty
- Fast pricing of energy derivatives with mean-reverting jump-diffusion processes
- Implications of a regime-switching model on natural gas storage valuation and optimal operation
- Swing option pricing by dynamic programming with b-spline density projection
- On the optimal exercise boundaries of swing put options
- Dual representations for general multiple stopping problems
- Lévy-based cross-commodity models and derivative valuation
- An iterative method for multiple stopping: convergence and stability
- Efficient pricing of swing options in Lévy-driven models
- On the Structure of a Swing Contract's Optimal Value and Optimal Strategy
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- scientific article; zbMATH DE number 5499145 (Why is no real title available?)
- A first-order BSPDE for swing option pricing
- Normal Tempered Stable Processes and the Pricing of Energy Derivatives
- Shout options: A framework for pricing contracts which can be modified by the investor
- A review of the operations literature on real options in energy
- Distributed energy resources flexibility as volumetric options on electricity
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options
- Seasonal volatility in agricultural markets: modelling and empirical investigations
- Swing option pricing consistent with futures smiles
- Swing contract pricing: with and without neural networks
- An analysis of linear regression and neural networks approximation for the pricing of swing options
- Swing option-implied volatility
- An iterative method for the multiple stopping problem under Knightian uncertainty
- Valuation and hedging efficiency of multifactor swing quanto options for price-volume risk in electricity markets
- Optimal risk management problem of natural resources: application to oil drilling
- Risk management of power portfolios and valuation of flexibility
- Valuing virtual production capacities on flow commodities
- Numerical methods for the pricing of swing options: a stochastic control approach
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance
- A dual approach to multiple exercise option problems under constraints
- A survey of stochastic modelling approaches for liberalised electricity markets
This page was built for publication: Valuation of Commodity-Based Swing Options
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3114910)
