A First-Order BSPDE for Swing Option Pricing
AbstractWe 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1305.3988.
Date of creation: May 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-05-24 (All new papers)
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- Christian Bender & Nikolai Dokuchaev, 2014. "A First-Order BSPDE for Swing Option Pricing: Classical Solutions," Papers 1402.6444, arXiv.org.
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