HEDGING SWING OPTIONS
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Publication:3005962
DOI10.1142/S021902491100636XzbMath1214.91035OpenAlexW2087818654MaRDI QIDQ3005962
Publication date: 10 June 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s021902491100636x
Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)
Cites Work
- Adapted solution of a backward stochastic differential equation
- Numerical methods for the pricing of swing options: a stochastic control approach
- Solving forward-backward stochastic differential equations explicitly -- a four step scheme
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- A continuous time model to price commodity-based swing options
- Valuation of Commodity-Based Swing Options
- Optimal Multiple Stopping of Linear Diffusions
- Backward Stochastic Differential Equations in Finance
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
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