A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING
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Publication:5739185
DOI10.1111/MAFI.12067zbMATH Open1391.91154arXiv1305.3988OpenAlexW2951379841MaRDI QIDQ5739185
Author name not available (Why is that?)
Publication date: 15 July 2016
Published in: (Search for Journal in Brave)
Abstract: We study an optimal control problem related to swing option pricing in a general non-Markovian setting in continuous time. As a main result we show that the value process solves a first-order non-linear backward stochastic partial differential equation. Based on this result we can characterize the set of optimal controls and derive a dual minimization problem.
Full work available at URL: https://arxiv.org/abs/1305.3988
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