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...
| Main Authors: | , |
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| Format: | Journal Article |
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John Wiley & Sons
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/26843 |
| _version_ | 1848752100734926848 |
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| author | Bender, C. Dokuchaev, Nikolai |
| author_facet | Bender, C. Dokuchaev, Nikolai |
| author_sort | Bender, C. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. Based on this result we also determine the set of optimal controls and derive a dual minimization problem. |
| first_indexed | 2025-11-14T08:03:15Z |
| format | Journal Article |
| id | curtin-20.500.11937-26843 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:03:15Z |
| publishDate | 2014 |
| publisher | John Wiley & Sons |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-268432019-02-19T05:35:40Z A first-order BSPDE for swing option pricing Bender, C. Dokuchaev, Nikolai Backward SPDE stochastic optimal control swing options 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. Based on this result we also determine the set of optimal controls and derive a dual minimization problem. 2014 Journal Article http://hdl.handle.net/20.500.11937/26843 10.1111/mafi.12067 John Wiley & Sons fulltext |
| spellingShingle | Backward SPDE stochastic optimal control swing options Bender, C. Dokuchaev, Nikolai A first-order BSPDE for swing option pricing |
| title | A first-order BSPDE for swing option pricing |
| title_full | A first-order BSPDE for swing option pricing |
| title_fullStr | A first-order BSPDE for swing option pricing |
| title_full_unstemmed | A first-order BSPDE for swing option pricing |
| title_short | A first-order BSPDE for swing option pricing |
| title_sort | first-order bspde for swing option pricing |
| topic | Backward SPDE stochastic optimal control swing options |
| url | http://hdl.handle.net/20.500.11937/26843 |