Swing Option Pricing by Dynamic Programming with B-spline Density Projection

Author:

Kirkby Justin,Deng Shijie

Publisher

Elsevier BV

Reference54 articles.

1. Optimal quantization for the pricing of swing options;O Bardou;Applied Mathematical Finance,2009

2. When are Swing options bang-bang and how to use it;O Bardou;International Journal of Theoretical and Applied Finance,2010

3. Numerical methods for the pricing of swing options: a stochastic control approach;C Barrera-Esteve;Methodol Comput Appl Probab,2006

4. Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem;M Basei;SIAM J. on Financial Mathematics,2014

5. Dual pricing of multi-exercise options under volume constraints;C Bender;Finance and Stochastics,2011

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