Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units

DOI10.1080/14697688.2020.1775283zbMath1466.91371OpenAlexW3045913781MaRDI QIDQ4991090

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Publication date: 2 June 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1775283

zbMATH Keywords

swing optionsindexationgas sales agreement

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Moving average options: machine learning and Gauss-Hermite quadrature for a double non-Markovian problem ⋮ Pricing renewable identification numbers under uncertainty

Uses Software

• CUDA
• CUBLAS

Cites Work

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• Gas Storage Hedging
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• Valuing American Options by Simulation: A Simple Least-Squares Approach
• A Finite-Dimensional Approximation for Pricing Moving Average Options
• A new sampling strategy willow tree method with application to path-dependent option pricing
• ADI finite difference schemes for option pricing in the Heston model with correlation

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