The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model (Q824886)
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scientific article; zbMATH DE number 7446033
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model |
scientific article; zbMATH DE number 7446033 |
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The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model (English)
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15 December 2021
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swing options
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regime-switching
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mean-reverting
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variational inequalities
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viscosity solutions
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