A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes (Q2199786)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes |
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A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes (English)
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14 September 2020
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swing option
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electricity spot price
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dynamic programming
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trinomial tree method
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least-squares Monte Carlo (LSM)
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