The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model

In this paper, we study the valuation of swing options on electricity markets with local volume and refraction time constraints, under the setting that the dynamic of the underlying spot price is a 2-state regime-switching mean-reverting process. We derive the corresponding optimal multiple stopping...

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Detalles Bibliográficos
Autores principales: Shao, Lingjie, Xiang, Kaili, Song, Yang
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer International Publishing 2018
Materias:
Research
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6244752/
https://www.ncbi.nlm.nih.gov/pubmed/30839871
http://dx.doi.org/10.1186/s13660-018-1908-3

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6244752/
https://www.ncbi.nlm.nih.gov/pubmed/30839871
http://dx.doi.org/10.1186/s13660-018-1908-3

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