The sensitivity of commodity markets to exchange operations such as swing
نویسندگان
چکیده
منابع مشابه
Swing 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...
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ژورنال
عنوان ژورنال: Journal of Dynamics & Games
سال: 2021
ISSN: 2164-6074
DOI: 10.3934/jdg.2020022