Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach
نویسندگان
چکیده
منابع مشابه
Efficient Numerical Methods for Pricing American Options Under Stochastic Volatility
Five numerical methods for pricing American put options under Heston’s stochastic volatility model are described and compared. The option prices are obtained as the solution of a two-dimensional parabolic partial differential inequality. A finite difference discretization on nonuniform grids leading to linear complementarity problems with M -matrices is proposed. The projected SOR, a projected ...
متن کاملA Finite-element Approach for Pricing Swing Options under Stochastic Volatility
Option pricing plays an important role in financial,energy, and commodity markets. The Black-Scholes model is an indispensable framework for the option pricing. This thesis studies the pricing of a swing option under stochastic volatility. A swing option is an American-style contract with multiple exercise rights. As such, it is an optimal multiplestopping time problem. In this dissertation, we...
متن کاملNumerical Methods for Pricing Multi - Asset Options
Numerical Methods for Pricing Multi-Asset Options Yuwei Chen Master of Science Graduate Department of Computer Science University of Toronto 2017 We consider the pricing of two-asset European and American options by numerical Partial Differential Equation (PDE) methods, and compare the results with certain analytical formulae. Two cases of options are tested: exchange option and spread option. ...
متن کاملNumerical Methods for Pricing Exotic Options
Derivative securities, when used correctly, can help investors increase their expected returns and minimize their exposure to risk. Options offer leverage and insurance for risk-averse investors. For the more risky investors, they can be ways of speculation. When an option is issued, we face the problem of determining the price of a product which depends on the performance of another security a...
متن کاملRobust optimisation approach to pricing electricity swing options Project Report
Electricity swing options are complex, Bermudan-style derivatives on electrical energy. They can be considered as supply contracts for power, which give flexibility in both the timing and amount of delivery. Pricing of such instruments is a challenging task due to the path-dependence of the option, non-storability of electricity and incompleteness of energy markets. We formulate a model for det...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Methodology and Computing in Applied Probability
سال: 2006
ISSN: 1387-5841,1573-7713
DOI: 10.1007/s11009-006-0427-8