Pages that link to "Item:Q2490450"
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The following pages link to A continuous time model to price commodity-based swing options (Q2490450):
Displaying 16 items.
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options (Q631202) (← links)
- Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process (Q655547) (← links)
- The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model (Q824886) (← links)
- The sensitivity of commodity markets to exchange operations such as swing (Q825234) (← links)
- An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
- Valuation of swing options under a regime-switching mean-reverting model (Q2298579) (← links)
- Pricing and risk of swing contracts in natural gas markets (Q2418428) (← links)
- Swing options in commodity markets: a multidimensional Lévy diffusion model (Q2441571) (← links)
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations (Q2633523) (← links)
- When are swing options bang-bang? (Q2786344) (← links)
- The concavity of the payoff function of a swing option in a binomial model (Q2786946) (← links)
- HEDGING SWING OPTIONS (Q3005962) (← links)
- Valuation of Commodity-Based Swing Options (Q3114910) (← links)
- Pricing of Swing Options in a Mean Reverting Model with Jumps (Q3617306) (← links)
- SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION (Q5210912) (← links)
- Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in power markets (Q6610444) (← links)
