Pricing swing options with regime switching-Reference-Cited by-同舟云学术

Pricing swing options with regime switching

Published:2009-08-25 Issue:1 Volume:185 Page:139-160
ISSN:0254-5330
Container-title:Annals of Operations Research
language:en
Short-container-title:Ann Oper Res

Author:

Wahab M. I. M.,Lee Chi-Guhn

Publisher

Springer Science and Business Media LLC

Subject

Management Science and Operations Research,General Decision Sciences

Link

http://link.springer.com/content/pdf/10.1007/s10479-009-0599-z.pdf

Reference32 articles.

1. Barbieri, A., & Garman, M. B. (1996). Putting a price on swing. Energy Power Risk Management, 1, 6.

2. Bierbrauer, M., Trück, S., & Weron, R. (2004). Modeling electricity prices with regime switching models. In Lecture notes in computer science (Vol. 3039, pp. 859–867). Berlin: Springer.

3. Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81, 637–659.

4. Bollen, N. (1998). Valuing option in regime-switching models. Journal of Derivatives, 6, 38–49.

5. Bollen, N., Gray, S., & Whaley, R. (2000). Regime switching in foreign exchange rates: Evidence from currency option prices. Journal of Econometrics, 94, 239–276.

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