A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING. (20th May 2014)
- Record Type:
- Journal Article
- Title:
- A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING. (20th May 2014)
- Main Title:
- A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING
- Authors:
- Bender, Christian
Dokuchaev, Nikolai - Abstract:
- Abstract: 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.
- Is Part Of:
- Mathematical finance. Volume 26:Number 3(2016:Jul.)
- Journal:
- Mathematical finance
- Issue:
- Volume 26:Number 3(2016:Jul.)
- Issue Display:
- Volume 26, Issue 3 (2016)
- Year:
- 2016
- Volume:
- 26
- Issue:
- 3
- Issue Sort Value:
- 2016-0026-0003-0000
- Page Start:
- 461
- Page End:
- 491
- Publication Date:
- 2014-05-20
- Subjects:
- backward SPDE -- stochastic optimal control -- swing options
Business mathematics -- Periodicals
332 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1467-9965 ↗
http://www.blackwellpublishers.co.uk/online ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/mafi.12067 ↗
- Languages:
- English
- ISSNs:
- 0960-1627
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 5401.975000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 1542.xml