The following pages link to When are swing options bang-bang? (Q2786344):
Displaying 21 items.
- Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers (Q408108) (← links)
- Dual pricing of multi-exercise options under volume constraints (Q483695) (← links)
- Numerical methods for the pricing of swing options: a stochastic control approach (Q861551) (← links)
- A dual approach to multiple exercise option problems under constraints (Q992045) (← links)
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes (Q2199786) (← links)
- Pricing and risk of swing contracts in natural gas markets (Q2418428) (← links)
- A continuous time model to price commodity-based swing options (Q2490450) (← links)
- The concavity of the payoff function of a swing option in a binomial model (Q2786946) (← links)
- Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options (Q2917431) (← links)
- Gas Storage Hedging (Q2917445) (← links)
- Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques (Q2917446) (← links)
- How to speed up the quantization tree algorithm with an application to swing options (Q2994841) (← links)
- PRICING SWING OPTIONS WITH TYPICAL CONSTRAINTS (Q3105724) (← links)
- Optimal Quantization for the Pricing of Swing Options (Q3395726) (← links)
- Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units (Q4991090) (← links)
- SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION (Q5210912) (← links)
- A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING (Q5739185) (← links)
- Distributed energy resources flexibility as volumetric options on electricity (Q6187722) (← links)
- Swing option pricing consistent with futures smiles (Q6581586) (← links)
- Swing contract pricing: with and without neural networks (Q6581630) (← links)
- FX Open Forward (Q6657683) (← links)
