SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION
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Publication:5210912
DOI10.1142/S0219024919500389zbMath1430.91113OpenAlexW2981132195MaRDI QIDQ5210912
Publication date: 16 January 2020
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024919500389
Lévy processesFFTfast Fourier transformcharacteristic functionbasisAmerican optionexotic optionsoptimal multiple stoppingswing optionsmultiple exerciseearly-exercise
Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS ⋮ Closed-form option pricing for exponential Lévy models: a residue approach ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Distributed energy resources flexibility as volumetric options on electricity ⋮ Efficient pricing of European options on two underlying assets by frame duality
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