A first-order BSPDE for swing option pricing

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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

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