A FIRST-ORDER BSPDE FOR SWING OPTION PRICING
Author:
Affiliation:
1. Saarland University
2. Curtin University
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12067/fullpdf
Reference30 articles.
1. A Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options;Andersen;Manage. Sci.,2004
2. When Are Swing Options Bang-Bang?;Bardou;Int. J. Theor. Appl. Fin.,2010
3. Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach;Barrera-Esteve;Methodol. Comput. Appl. Probab.,2006
4. Basei , M. A. Cesaroni T. Vargiolu 2013 Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem
5. Dual Pricing of Multi-Exercise Options under Volume Constraints;Bender;Fin. Stoch.,2011a
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