Swing options in commodity markets: a multidimensional Lévy diffusion model

DOI10.1007/s00186-013-0452-7zbMath1287.91140arXiv1302.6399OpenAlexW2210643858MaRDI QIDQ2441571

Marcus Eriksson, Jukka Lempa, Trygve Kastberg Nilssen

Publication date: 25 March 2014

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.6399

zbMATH Keywords

finite difference methodHJB equationLévy diffusionswing optionmulti-factor modeldynamic programming problemflexible load contract

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming (90C39) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

A review of the operations literature on real options in energy ⋮ SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION

Cites Work

• Forest of stochastic meshes: a new method for valuing high-dimensional swing options
• Valuation of electricity swing options by multistage stochastic programming
• A continuous time model to price commodity-based swing options
• Controlled Markov processes and viscosity solutions
• Pricing swing options in the electricity markets under regime-switching uncertainty
• Modelling spikes and pricing swing options in electricity markets
• Pricing of Swing Options in a Mean Reverting Model with Jumps
• Lévy Processes and Stochastic Calculus
• A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
• Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

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