IDEAS home Printed from https://ideas.repec.org/r/spr/metcap/v8y2006i4d10.1007_s11009-006-0427-8.html
   My bibliography  Save this item

Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. 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.
  2. 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.
  3. Tiziano De Angelis & Yerkin Kitapbayev, 2018. "On the Optimal Exercise Boundaries of Swing Put Options," Mathematics of Operations Research, INFORMS, vol. 43(1), pages 252-274, February.
  4. J. Lars Kirkby & Shi-Jie Deng, 2019. "Swing Option Pricing By Dynamic Programming With B-Spline Density Projection," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-53, December.
  5. Ben Zineb Tarik & Gobet Emmanuel, 2013. "Preliminary control variates to improve empirical regression methods," Monte Carlo Methods and Applications, De Gruyter, vol. 19(4), pages 331-354, December.
  6. 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.
  7. N. Aleksandrov & B. Hambly, 2010. "A dual approach to multiple exercise option problems under constraints," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(3), pages 503-533, June.
  8. Nicolas Curin & Michael Kettler & Xi Kleisinger-Yu & Vlatka Komaric & Thomas Krabichler & Josef Teichmann & Hanna Wutte, 2021. "A deep learning model for gas storage optimization," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1021-1037, December.
  9. W. Ackooij & X. Warin, 2020. "On conditional cuts for stochastic dual dynamic programming," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 8(2), pages 173-199, June.
  10. Oleg Kudryavtsev & Antonino Zanette, 2013. "Efficient pricing of swing options in L�vy-driven models," Quantitative Finance, Taylor & Francis Journals, vol. 13(4), pages 627-635, March.
  11. Zhiyi Shen & Chengguo Weng, 2019. "A Backward Simulation Method for Stochastic Optimal Control Problems," Papers 1901.06715, arXiv.org.
  12. Tiziano De Angelis & Yerkin Kitapbayev, 2014. "On the optimal exercise boundaries of swing put options," Papers 1407.6860, arXiv.org, revised Jan 2017.
  13. R. Mark Reesor & T. James Marshall, 2020. "Forest of Stochastic Trees: A Method for Valuing Multiple Exercise Options," JRFM, MDPI, vol. 13(5), pages 1-31, May.
  14. 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.
  15. 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.
  16. Nikolay Aleksandrov & Raphael Espinoza, 2011. "Optimal Oil Extraction as a Multiple Real Option," OxCarre Working Papers 064, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
  17. repec:dau:papers:123456789/11439 is not listed on IDEAS
  18. 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.
  19. Olivier Aj Bardou & Sandrine Bouthemy & Gilles Pag`es, 2007. "Optimal quantization for the pricing of swing options," Papers 0705.2110, arXiv.org.
  20. Guoming Lai & François Margot & Nicola Secomandi, 2010. "An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation," Operations Research, INFORMS, vol. 58(3), pages 564-582, June.
  21. Thomas Deschatre & Joseph Mikael, 2020. "Deep combinatorial optimisation for optimal stopping time problems : application to swing options pricing," Papers 2001.11247, arXiv.org, revised Jan 2021.
  22. 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.
  23. Christian Bender & Nikolai Dokuchaev, 2013. "A First-Order BSPDE for Swing Option Pricing," Papers 1305.3988, arXiv.org.
  24. Francisco Bernal & Emmanuel Gobet & Jacques Printems, 2020. "Volatility Uncertainty Quantification in a Stochastic Control Problem Applied to Energy," Methodology and Computing in Applied Probability, Springer, vol. 22(1), pages 135-159, March.
  25. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
  26. Roberto Daluiso & Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli, 2020. "Pricing commodity swing options," Papers 2001.08906, arXiv.org.
  27. Olivier Bokanowski & Averil Prost & Xavier Warin, 2023. "Neural networks for first order HJB equations and application to front propagation with obstacle terms," Partial Differential Equations and Applications, Springer, vol. 4(5), pages 1-36, October.
  28. 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.
  29. 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.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.