A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes

DOI10.1016/j.cam.2020.113132zbMath1448.91290OpenAlexW3047279105MaRDI QIDQ2199786

Zaniar Ahmadi, Ali Foroush Bastani, Mohammed Hosseini Ali Abadi

Publication date: 14 September 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.113132

zbMATH Keywords

dynamic programmingswing optionelectricity spot priceleast-squares Monte Carlo (LSM)trinomial tree method

Mathematics Subject Classification ID

Dynamic programming (90C39) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Jump processes on discrete state spaces (60J74)

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