A first-order BSPDE for swing option pricing

A first-order BSPDE for swing option pricing

We study an optimal control problem related to swing option pricing in a general non-Markovian setting in continuous time. As a main result we uniquely characterize the value process in terms of a first-order nonlinear backward stochastic partial differential equation and a differential inclusion. B...

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Bibliographic Details
Main Authors: Bender, C., Dokuchaev, Nikolai
Format: Journal Article
Published: John Wiley & Sons 2014
Subjects:
Backward SPDE
stochastic optimal control
swing options
Online Access:http://hdl.handle.net/20.500.11937/26843

Internet

http://hdl.handle.net/20.500.11937/26843

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