The concavity of the payoff function of a swing option in a binomial model

DOI10.1090/tpms/968zbMath1335.91084OpenAlexW2410345732MaRDI QIDQ2786946

A. V. Kulikov, N. O. Malykh

Publication date: 24 February 2016

Published in: Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/tpms/968

zbMATH Keywords

bang-bang controlenergy derivativesswing optionbinomial modeltree method

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Implementing models in quantitative finance: methods and cases
• WHEN ARE SWING OPTIONS BANG-BANG?
• The Evaluation of Gas Swing Contracts with Regime Switching
• Pricing swing options in the electricity markets under regime-switching uncertainty
• Lattice Approach and Implied Trees
• Option pricing: A simplified approach

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