A Practical View on Valuation of Multi-Exercise American Style Options in Gas and Electricity Markets

DOI10.1007/978-3-642-25746-9_11zbMath1247.91191OpenAlexW181023461MaRDI QIDQ2917439

Klaus Wiebauer

Publication date: 28 September 2012

Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_11

zbMATH Keywords

numerical methodsoption pricingenergy derivativesswing optionsmulti-exercise optionsleast squares Monte Carlo

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Numerical methods for the pricing of swing options: a stochastic control approach
• A spot market model for pricing derivatives in electricity markets

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