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 e...

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Vydané v:	Mathematical methods of operations research (Heidelberg, Germany) Ročník 79; číslo 1; s. 31 - 67
Hlavní autori:	Eriksson, Marcus, Lempa, Jukka, Nilssen, Trygve Kastberg
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Berlin/Heidelberg Springer Berlin Heidelberg 01.02.2014 Springer Nature B.V
Predmet:	Business and Management Calculus of Variations and Optimal Control; Optimization Commodities Commodity prices Dynamic programming Mathematical models Mathematics Mathematics and Statistics Operations research Operations Research/Decision Theory Original Article Securities prices Studies Valuation Multi-factor model Dynamic programming problem HJB-equation Lévy diffusion Swing option Flexible load contract Finite difference method
ISSN:	1432-2994, 1432-5217
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