PRICING SWING OPTIONS WITH TYPICAL CONSTRAINTS
Author:
Affiliation:
1. The University of Tokyo
Publisher
The Operations Research Society of Japan
Subject
Management Science and Operations Research,General Decision Sciences
Link
https://www.jstage.jst.go.jp/article/jorsj/54/2-3/54_KJ00007578064/_pdf
Reference14 articles.
1. 1) BARRERA-ESTEVE C. Numerical methods for the pricing of swing options : A stochastic control approach. Methodology and Computing in Applied Probability. (2006) vol.8, p.517-540.
2. 2) CAMCI A. Pricing american contingent claims by stochastic linear programming. Optimization. (2009) vol.58, p.627-640.
3. 3) DORR U. Valuation of swing options and examination of exercise strategies by monte carlo techniques. Master Thesis, University of Oxford. (2003)
4. 4) FOLLFOLLMER H. Stochastic Finance : An Introduction in Discrete Time. De Gruyter. (2004)
5. 5) HAARBRUCKER G. Valuation of electricity swing options by multistage stochastic programming. Automatica. (2009) vol.45, p.889-899.
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1. SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION;International Journal of Theoretical and Applied Finance;2019-12
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