Swing Options Valuation: A BSDE with Constrained Jumps Approach

DOI10.1007/978-3-642-25746-9_12zbMath1247.91179arXiv1101.0975OpenAlexW2123922338MaRDI QIDQ2917441

Peter Tankov, Marie Bernhart, Xavier Warin, Huyên Pham

Publication date: 28 September 2012

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

Full work available at URL: https://arxiv.org/abs/1101.0975

zbMATH Keywords

Monte Carlo methodsswing optionsimpulse control problemsbackward stochastic differential equations with constrained jumps

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Related Items (5)

Infinite Horizon Stochastic Impulse Control with Delay and Random Coefficients ⋮ A deep-genetic algorithm (deep-GA) approach for high-dimensional nonlinear parabolic partial differential equations ⋮ On the Optimal Exercise Boundaries of Swing Put Options ⋮ Optimal switching problems with an infinite set of modes: an approach by randomization and constrained backward SDEs ⋮ Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing.

Cites Work

• Unnamed Item
• Unnamed Item
• Discrete-time approximation of multidimensional BSDEs with oblique reflections
• Applied stochastic control of jump diffusions.
• Rate of convergence of an empirical regression method for solving generalized backward stochastic differential equations
• Backward SDEs with constrained jumps and quasi-variational inequalities
• Stochastic impulse control of non-Markovian processes
• Multi-dimensional BSDE with oblique reflection and optimal switching
• A model of optimal portfolio selection under liquidity risk and price impact
• Discrete-time approximation of decoupled Forward-Backward SDE with jumps
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• Discrete-time approximation for continuously and discretely reflected BSDEs
• A regression-based Monte Carlo method to solve backward stochastic differential equations
• Error analysis of the optimal quantization algorithm for obstacle problems.
• Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods
• A Finite Horizon Optimal Multiple Switching Problem
• Pricing Asset Scheduling Flexibility using Optimal Switching
• Financial Modelling with Jump Processes
• On the Starting and Stopping Problem: Application in Reversible Investments
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

This page was built for publication: Swing Options Valuation: A BSDE with Constrained Jumps Approach