On the Structure of a Swing Contract's Optimal Value and Optimal Strategy

DOI10.1239/jap/1208358947zbMath1134.91391OpenAlexW1968016630MaRDI QIDQ5459904

Sheldon M. Ross, Zegang Zhu

Publication date: 30 April 2008

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1208358947

zbMATH Keywords

optimal strategysubmodularAmerican call optionsupermodularswing contract

Mathematics Subject Classification ID

Related Items (4)

Range contracts: risk sharing and beyond ⋮ PERFECT AND PARTIAL HEDGING FOR SWING GAME OPTIONS IN DISCRETE TIME ⋮ Valuation of swing options under a regime-switching mean-reverting model ⋮ Optimal Quantization for the Pricing of Swing Options

Cites Work

• Valuation of Commodity-Based Swing Options
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
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