THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING

DOI10.1142/S0219024916500059zbMath1337.91091MaRDI QIDQ2797875

Boda Kang, Les Clewlow, Carl Chiarella

Publication date: 1 April 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

swing contractregime switching volatilitycarry forwardforward price curvegas sales agreementmake-uprecombining pentanomial treetake-or-pay

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Related Items (2)

The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model ⋮ Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units

Cites Work

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• Numerical methods for the pricing of swing options: a stochastic control approach
• Measure Theory and Filtering
• The Evaluation of Gas Swing Contracts with Regime Switching
• Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem
• Optimal Quantization for the Pricing of Swing Options

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