Valuation of swing options under a regime-switching mean-reverting model

DOI10.1155/2019/5796921zbMath1435.91190OpenAlexW2909748763MaRDI QIDQ2298579

Kaili Xiang, Lingjie Shao

Publication date: 20 February 2020

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2019/5796921

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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