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

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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

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