A First-Order BSPDE for Swing Option Pricing: Classical Solutions

A First-Order BSPDE for Swing Option Pricing: Classical Solutions

In a companion paper, we studied a control problem related to swing option pricing in a general non-Markovian setting. The main result there shows that the value process of this control problem can uniquely be characterized in terms of a first-order backward stochastic partial differential equation...

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Bibliographic Details
Main Authors: Bender, C., Dokuchaev, Nikolai
Format: Journal Article
Published: John Wiley & Sons 2017
Subjects:
optimal stopping
Backward SPDE
stochastic optimal control
swing options
Online Access:http://hdl.handle.net/20.500.11937/36508

Internet

http://hdl.handle.net/20.500.11937/36508

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