Pricing of Swing Options in a Mean Reverting Model with Jumps
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References listed on IDEAS
- Goldman, M Barry & Sosin, Howard B & Gatto, Mary Ann, 1979. "Path Dependent Options: "Buy at the Low, Sell at the High"," Journal of Finance, American Finance Association, vol. 34(5), pages 1111-1127, December.
- Peter Buchen & Otto Konstandatos, 2005. "A New Method Of Pricing Lookback Options," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 245-259.
- Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters,in: Theory Of Valuation, chapter 8, pages 229-288 World Scientific Publishing Co. Pte. Ltd..
- Conze, Antoine & Viswanathan, 1991. " Path Dependent Options: The Case of Lookback Options," Journal of Finance, American Finance Association, vol. 46(5), pages 1893-1907, December.
- Goldman, M Barry & Sosin, Howard B & Shepp, Lawrence A, 1979. "On Contingent Claims That Insure Ex-post Optimal Stock Market Timing," Journal of Finance, American Finance Association, vol. 34(2), pages 401-413, May.
- Peter Buchen, 2004. "The pricing of dual-expiry exotics," Quantitative Finance, Taylor & Francis Journals, vol. 4(1), pages 101-108.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Marcus Eriksson & Jukka Lempa & Trygve Nilssen, 2014.
"Swing options in commodity markets: a multidimensional Lévy diffusion model,"
Mathematical Methods of Operations Research,
Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(1), pages 31-67, February.
- Marcus Eriksson & Jukka Lempa & Trygve Kastberg Nilssen, 2013. "Swing options in commodity markets: A multidimensional L\'evy diffusion model," Papers 1302.6399, arXiv.org.
- repec:spr:compst:v:79:y:2014:i:1:p:31-67 is not listed on IDEAS
More about this item
KeywordsEnergy derivatives; swing options; jump diffusions; parabolic PIDEs; finite differences;
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