منابع مشابه
Valuation of Commodity-Based Swing Options
In the energy markets, in particular the electricity and natural gas markets, many contracts incorporate flexibility-of-delivery options, known as “swing” or “take-or-pay” options. Subject to daily as well as periodic constraints, these contracts permit the option holder to repeatedly exercise the right to receive greater or smaller amounts of energy. We extract market information from forward ...
متن کاملPricing Swing Options with Typical Constraints
We propose a pricing method by mathematical programming for swing options with typical constraints on a lattice model. We show that the problem of pricing typical swing options has a particular optimal solution such that there are only seven kinds of changed amounts in the solution. Using the solution, we formulate the pricing problem as a linear program. The solution can be applied to the meth...
متن کاملElectricity swing options: Behavioral models and pricing
Electricity swing options are supply contracts for power, which give the owner the right to change the required delivery on short time notice. It gives more flexibility than fixed base load or peak load contracts. The name ”option” is a bit misleading, since it gives the owner multiple exercise rights at many different time horizons with exercise amounts on a continuous scale. We look at the pr...
متن کاملSwing options in commodity markets: a multidimensional Lévy diffusion model
We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a valuation model in terms of a dynamic programming problem where the option can be exercised continuously in time. Here, the number of swing rights is given by a total volume constr...
متن کاملEfficient pricing of swing options in Lévy-driven models
We consider the problem of pricing swing options with multiple exercise rights in Lévy-driven models. We propose an efficient Wiener-Hopf factorisation method that solves multiple parabolic partial integro-differential equations associated with the pricing problem. We compare the proposed method with a finite difference algorithm. Both proposed deterministic methods are related to the dynamic p...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2020
ISSN: 1556-5068
DOI: 10.2139/ssrn.3524802