Pricing swing options in the electricity markets under regime-switching uncertainty
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Publication:2994840
DOI10.1080/14697680903547899zbMath1210.91125OpenAlexW1967533682MaRDI QIDQ2994840
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Publication date: 29 April 2011
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680903547899
Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)
Related Items (10)
The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model ⋮ Localized kernel-based approximation for pricing financial options under regime switching jump diffusion model ⋮ Pricing and risk of swing contracts in natural gas markets ⋮ A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes ⋮ Swing options in commodity markets: a multidimensional Lévy diffusion model ⋮ A local radial basis function method for pricing options under the regime switching model ⋮ A comparison of regime-switching temperature modeling approaches for applications in weather derivatives ⋮ The concavity of the payoff function of a swing option in a binomial model ⋮ Valuation of swing options under a regime-switching mean-reverting model ⋮ A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes
Cites Work
- A lattice approach for pricing of multivariate contingent claims
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Valuation of Commodity-Based Swing Options
- Real Options and Product Life Cycles
- Multinomial Approximating Models for Options with k State Variables
- Basics of electricity derivative pricing in competitive markets
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Option pricing: A simplified approach
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