Valuation of Path-Dependent Contingent Claims with Multiple Exercise Decisions over Time: The Case of Take-or-Pay

Citations

Cited by:

1. Daehwan Kim & Jin-Yeong Kim, 2011. "Valuing Income-Contingent Loans as Path-Dependent Options," Korean Economic Review, Korean Economic Association, vol. 27, pages 273-291.
2. Matteo Gambara & Giulia Livieri & Andrea Pallavicini, 2023. "Machine learning methods for American-style path-dependent contracts," Papers 2311.16762, arXiv.org.
3. Yau, Sheena & Kwon, Roy H. & Scott Rogers, J. & Wu, Desheng, 2011. "Financial and operational decisions in the electricity sector: Contract portfolio optimization with the conditional value-at-risk criterion," International Journal of Production Economics, Elsevier, vol. 134(1), pages 67-77, November.
4. repec:dau:papers:123456789/11439 is not listed on IDEAS
5. Dong, Wenfeng & Kang, Boda, 2019. "Analysis of a multiple year gas sales agreement with make-up, carry-forward and indexation," Energy Economics, Elsevier, vol. 79(C), pages 76-96.
6. Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019. "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, vol. 22(1), pages 77-167, April.
7. Patrick Jaillet & Ehud I. Ronn & Stathis Tompaidis, 2004. "Valuation of Commodity-Based Swing Options," Management Science, INFORMS, vol. 50(7), pages 909-921, July.
8. Rajnish Kamat & Shmuel S. Oren, 2002. "Exotic Options for Interruptible Electricity Supply Contracts," Operations Research, INFORMS, vol. 50(5), pages 835-850, October.
9. Roberto Daluiso & Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli, 2020. "Pricing commodity swing options," Papers 2001.08906, arXiv.org.
10. 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.
11. Olivier Aj Bardou & Sandrine Bouthemy & Gilles Pag`es, 2007. "Optimal quantization for the pricing of swing options," Papers 0705.2110, arXiv.org.
12. Corinne Chaton & Laure Durand‐Viel, 2013. "Real Asset Valuation under Imperfect Competition: Can We Forget About Market Fundamentals?," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 22(1), pages 125-139, March.
13. Kovacevic, Raimund M. & Pflug, Georg Ch., 2014. "Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches," European Journal of Operational Research, Elsevier, vol. 237(2), pages 389-403.
14. Deng, S.J. & Oren, S.S., 2006. "Electricity derivatives and risk management," Energy, Elsevier, vol. 31(6), pages 940-953.
15. Kourouvakalis, Stylianos, 2008. "Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/116 edited by Geman, Hélyette.
16. Christophe Barrera-Esteve & Florent Bergeret & Charles Dossal & Emmanuel Gobet & Asma Meziou & Rémi Munos & Damien Reboul-Salze, 2006. "Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach," Methodology and Computing in Applied Probability, Springer, vol. 8(4), pages 517-540, December.
17. M. Dahlgren, 2005. "A Continuous Time Model to Price Commodity-Based Swing Options," Review of Derivatives Research, Springer, vol. 8(1), pages 27-47, June.
18. M. Wahab & Chi-Guhn Lee, 2011. "Pricing swing options with regime switching," Annals of Operations Research, Springer, vol. 185(1), pages 139-160, May.
19. Yumi Oum & Shmuel Oren & Shijie Deng, 2006. "Hedging quantity risks with standard power options in a competitive wholesale electricity market," Naval Research Logistics (NRL), John Wiley & Sons, vol. 53(7), pages 697-712, October.
20. Raimund M. Kovacevic, 2019. "Valuation and pricing of electricity delivery contracts: the producer’s view," Annals of Operations Research, Springer, vol. 275(2), pages 421-460, April.
21. Nicos Koussis & Spiros Martzoukos & Lenos Trigeorgis, 2007. "Real R&D options with time-to-learn and learning-by-doing," Annals of Operations Research, Springer, vol. 151(1), pages 29-55, April.
22. Nicolas Essis-Breton & Patrice Gaillardetz, 2020. "Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale," Papers 2002.11258, arXiv.org.
23. Vincent Lemaire & Gilles Pag`es & Christian Yeo, 2023. "Swing contract pricing: with and without Neural Networks," Papers 2306.03822, arXiv.org, revised Mar 2024.
24. E. Nasakkala & J. Keppo, 2008. "Hydropower with Financial Information," Applied Mathematical Finance, Taylor & Francis Journals, vol. 15(5-6), pages 503-529.
25. Soren Christensen & Albrecht Irle & Stephan Jurgens, 2012. "Optimal multiple stopping with random waiting times," Papers 1205.1966, arXiv.org.
26. Liu, Xiaoran & Ronn, Ehud I., 2020. "Using the binomial model for the valuation of real options in computing optimal subsidies for Chinese renewable energy investments," Energy Economics, Elsevier, vol. 87(C).
27. Naoki Kishimoto, 2004. "Pricing Path-Dependent Securities by the Extended Tree Method," Management Science, INFORMS, vol. 50(9), pages 1235-1248, September.
28. Pflug, Georg C. & Broussev, Nikola, 2009. "Electricity swing options: Behavioral models and pricing," European Journal of Operational Research, Elsevier, vol. 197(3), pages 1041-1050, September.