Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem

DOI10.1137/130928893zbMath1308.91155arXiv1307.1320OpenAlexW1964620550MaRDI QIDQ2940773

Matteo Basei, Annalisa Cesaroni, Tiziano Vargiolu

Publication date: 20 January 2015

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.1320

zbMATH Keywords

state constraintsdynamic programmingstochastic controlHJB equationviscosity solutionspenalty methodsenergy marketsswing contracts

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (8)

The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model ⋮ A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS ⋮ Optimal management of pumped hydroelectric production with state constrained optimal control ⋮ A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING ⋮ Utility indifference pricing and hedging for structured contracts in energy markets ⋮ THE EVALUATION OF MULTIPLE YEAR GAS SALES AGREEMENT WITH REGIME SWITCHING ⋮ SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION ⋮ Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units

This page was built for publication: Optimal Exercise of Swing Contracts in Energy Markets: An Integral Constrained Stochastic Optimal Control Problem