Optimal Quantization for the Pricing of Swing Options
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References listed on IDEAS
- Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance 0606, Birkbeck, Department of Economics, Mathematics & Statistics.
- repec:dau:papers:123456789/607 is not listed on IDEAS
- Helyette Geman, 2005. "Commodities and Commodity Derivatives. Modeling and Pricing for Agriculturals, Metals and Energy," Post-Print halshs-00144182, HAL.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Carl Chiarella & Les Clewlow & Boda Kang, 2016.
"The Evaluation Of Multiple Year Gas Sales Agreement With Regime Switching,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-25, February.
- Carl Chiarella & Les Clewlow & Boda Kang, 2011. "The Evaluation of Multiple Year Gas Sales Agreement with Regime Switching," Research Paper Series 288, Quantitative Finance Research Centre, University of Technology, Sydney.
- Tiziano De Angelis & Yerkin Kitapbayev, 2014. "On the optimal exercise boundaries of swing put options," Papers 1407.6860, arXiv.org, revised Jan 2017.
- Corlay Sylvain & Pagès Gilles, 2015. "Functional quantization-based stratified sampling methods," Monte Carlo Methods and Applications, De Gruyter, vol. 21(1), pages 1-32, March.
- Edoli, Enrico & Fiorenzani, Stefano & Ravelli, Samuele & Vargiolu, Tiziano, 2013. "Modeling and valuing make-up clauses in gas swing contracts," Energy Economics, Elsevier, vol. 35(C), pages 58-73.
- Giorgia Callegaro & Luciano Campi & Valeria Giusto & Tiziano Vargiolu, 2017.
"Utility indifference pricing and hedging for structured contracts in energy markets,"
Mathematical Methods of Operations Research,
Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 265-303, April.
- Giorgia Callegaro & Luciano Campi & Valeria Giusto & Tiziano Vargiolu, 2014. "Utility indifference pricing and hedging for structured contracts in energy markets," Papers 1407.7725, arXiv.org, revised Feb 2016.
- Callegaro, Giorgia & Campi, Luciano & Giusto, Valeria & Vargiolu, Tiziano, 2017. "Utility indifference pricing and hedging for structured contracts in energy markets," LSE Research Online Documents on Economics 68953, London School of Economics and Political Science, LSE Library.
- Felix, Bastian Joachim & Weber, Christoph, 2012. "Gas storage valuation applying numerically constructed recombining trees," European Journal of Operational Research, Elsevier, vol. 216(1), pages 178-187.
- M. Basei & A. Cesaroni & T. Vargiolu, 2013. "Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem," Papers 1307.1320, arXiv.org.
- Nicole Bauerle & Viola Riess, 2014. "Gas Storage valuation with regime switching," Papers 1412.1298, arXiv.org.
More about this item
KeywordsSwing options; stochastic control; optimal quantization; energy;
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