The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
type: Item
instance of: scholarly article
title: The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
zbMATH Open document ID: 1498.91461
author: Lingjie Shao
author: Kaili Xiang
author: Yang Song
published in: Journal of Inequalities and Applications
publication date: 2021-12-15T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 7446033
zbMATH Keywords: swing options
zbMATH Keywords: regime-switching
zbMATH Keywords: mean-reverting
zbMATH Keywords: variational inequalities
zbMATH Keywords: viscosity solutions
MaRDI profile type: Publication
full work available at URL: s13660-018-1908-3
OpenAlex ID: W2900873600
Wikidata QID: Q59799102
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DOI: 10.1186/S13660-018-1908-3
description: scientific article; zbMATH DE number 7446033