PRICING SWING OPTIONS WITH TYPICAL CONSTRAINTS
نویسندگان
چکیده
منابع مشابه
Pricing 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...
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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...
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ژورنال
عنوان ژورنال: Journal of the Operations Research Society of Japan
سال: 2011
ISSN: 0453-4514,2188-8299
DOI: 10.15807/jorsj.54.86