A FIRST-ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS
Author:
Affiliation:
1. Saarland University
2. Curtin University
Funder
ATN-DAAD Australia Germany Joint Research Cooperation Scheme
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12096/fullpdf
Reference12 articles.
1. Differential Inclusions
2. Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem;Basei;SIAM J. Financ. Math,2014
3. Dual Pricing of Multi-Exercise Options under Volume Constraints;Bender;Finance Stoch,2011a
4. Primal and Dual Pricing of Multiple Exercise Options in Continuous Time;Bender;SIAM J. Financ. Math,2011b
5. A First-Order BSPDE for Swing Option Pricing;Bender;Math. Finance,2016
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1. Optimal energy storing and selling in continuous time stochastic multi-battery setting;Sustainable Energy, Grids and Networks;2020-06
2. On degenerate backward SPDEs in bounded domains under non-local conditions;Stochastics;2018-06-06
3. Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations;Annals of Operations Research;2018-06-04
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