WHEN ARE SWING OPTIONS BANG-BANG?
From MaRDI portal
Publication:2786344
DOI10.1142/S0219024910006030zbMath1233.91255arXiv0705.0466MaRDI QIDQ2786344
Gilles Pagès, Sandrine Bouthemy, Olivier Bardou
Publication date: 21 September 2010
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0705.0466
Related Items (15)
Optimal Delaunay and Voronoi Quantization Schemes for Pricing American Style Options ⋮ Gas Storage Hedging ⋮ Sensitivity Analysis of Energy Contracts by Stochastic Programming Techniques ⋮ Pricing and risk of swing contracts in natural gas markets ⋮ Asymptotics of the maximal radius of an \(L^{r}\)-optimal sequence of quantizers ⋮ Distributed energy resources flexibility as volumetric options on electricity ⋮ A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes ⋮ How to speed up the quantization tree algorithm with an application to swing options ⋮ Dual pricing of multi-exercise options under volume constraints ⋮ A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING ⋮ The concavity of the payoff function of a swing option in a binomial model ⋮ A dual approach to multiple exercise option problems under constraints ⋮ SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION ⋮ Optimal Quantization for the Pricing of Swing Options ⋮ Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
Cites Work
- Numerical methods for the pricing of swing options: a stochastic control approach
- Stochastic optimal control. The discrete time case
- A space quantization method for numerical integration
- Foundations of quantization for probability distributions
- Functional quantization rate and mean regularity of processes with an application to Lévy processes
- Error analysis of the optimal quantization algorithm for obstacle problems.
- Valuation of Commodity-Based Swing Options
- Optimal Quantization for the Pricing of Swing Options
- Pricing Asset Scheduling Flexibility using Optimal Switching
- Asymptotic quantization error of continuous signals and the quantization dimension
- An Algorithm for Finding Best Matches in Logarithmic Expected Time
- Optimal quadratic quantization for numerics: the Gaussian case
- AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- Distortion mismatch in the quantization of probability measures
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
This page was built for publication: WHEN ARE SWING OPTIONS BANG-BANG?
