On the Optimal Exercise Boundaries of Swing Put Options

Published Online:https://doi.org/10.1287/moor.2017.0862

References

  • Aleksandrov N, Hambly BM (2010) A dual approach to multiple exercise option problems under constraints. Math. Methods Oper. Res. 71(3):503–533.CrossrefGoogle Scholar
  • Bardou O, Bouthemy S, Pagès G (2009) Optimal quantization for the pricing of swing options. Appl. Math. Finance 16(2):183–217.CrossrefGoogle Scholar
  • Barrera-Esteve C, Bergeret F, Dossal C, Gobet E, Meziou A, Munos R, Reboul-Salze D (2006) Numerical methods for the pricing of swing options: A stochastic control approach. Methodology Comput. Appl. Probab. 8(4):517–540.CrossrefGoogle Scholar
  • Bender C (2011) Dual pricing of multi-exercise options under volume constraints. Finance Stochastics 15(1):1–26.CrossrefGoogle Scholar
  • Benth FE, Lempa J, Nilssen TK (2011) On the optimal exercise of swing options in electricity markets. J. Energy Markets 4(4):3–28.CrossrefGoogle Scholar
  • Bernhart M, Pham H, Tankov P, Warin X (2012) Swing options valuation: A BSDE with constrained jumps approach. Carmona R, Del Moral P, Hu P, Oudjane J, eds. Numerical Methods in Finance (Springer, Berlin), 379–400.CrossrefGoogle Scholar
  • Carmona R, Dayanik S (2008) Optimal multiple stopping of linear diffusions. Math. Oper. Res. 33(2):446–460.LinkGoogle Scholar
  • Carmona R, Touzi N (2008) Optimal multiple stopping and valuation of swing options. Math. Finance 18(2):239–268.CrossrefGoogle Scholar
  • Carr P, Jarrow R, Myneni R (1992) Alternative characterizations of american put options. Math. Finance 2(2):87–106.CrossrefGoogle Scholar
  • De Angelis T (2015) A note on the continuity of free-boundaries in finite-horizon optimal stopping problems for one-dimensional diffusions. SIAM J. Control Optim. 53(1):167–184.CrossrefGoogle Scholar
  • Du Toit J, Peskir G (2007) The trap of complacency in predicting the maximum. Ann. Probab. 35(1):340–365.CrossrefGoogle Scholar
  • Friedman A (2008) Partial Differential Equations of Parabolic Type (Dover Publications, Mineola, NY).Google Scholar
  • Hambly B, Howison S, Kluge T (2009) Modelling spikes and pricing swing options in electricity markets. Quant. Finance 9(8):937–949.CrossrefGoogle Scholar
  • Ibáñez A (2004) Valuation by simulation of contingent claims with multiple early exercise opportunities. Math. Finance 14(2):223–248.CrossrefGoogle Scholar
  • Jacka SD (1991) Optimal stopping and the american put. Math. Finance 1(2):1–14.CrossrefGoogle Scholar
  • Jaillet P, Ronn EI, Tompaidis S (2004) Valuation of commodity-based swing options. Management Sci. 50(7):909–921.LinkGoogle Scholar
  • Kobylanski M, Quenez M-C, Rouy-Mironescu E (2011) Optimal multiple stopping time problem. Ann. Appl. Probab. 21(4):1365–1399.CrossrefGoogle Scholar
  • Kolmogorov AN, Fomin SV (1999) Elements of the Theory of Functions and Functional Analysis, Vol. 1 (Dover Publications, Mineola, NY).Google Scholar
  • Latifa IB, Bonnans JF, Mnif M (2011) Optimal multiple stopping problem and financial applications. PhD thesis, INRIA Research Report 7807.Google Scholar
  • Lempa J (2014) Mathematics of swing options: A survey. Benth FE, Kholodnyi VA, Laurence P, eds. Quantitative Energy Finance (Springer, New York), 115–133.CrossrefGoogle Scholar
  • Leung T, Sircar R (2009) Accounting for risk aversion, vesting, job termination risk and multiple exercises in valuation of employee stock options. Math. Finance 19(1):99–128.CrossrefGoogle Scholar
  • Meinshausen N, Hambly BM (2004) Monte Carlo methods for the valuation of multiple-exercise options. Math. Finance 14(4):557–583.CrossrefGoogle Scholar
  • Peskir G (2005) A change-of-variable formula with local time on curves. J. Theoret. Probab. 18(3):499–535.CrossrefGoogle Scholar
  • Peskir G (2005) On the American option problem. Math. Finance 15(1):169–181.CrossrefGoogle Scholar
  • Peskir G, Shiryaev AN (2006) Optimal Stopping and Free Boundary Problems. Lectures in Mathematics, ETH Zürich (Birkhäuser, Basel, Switzerland).Google Scholar
  • Villeneuve S (2007) On threshold strategies and the smooth-fit principle for optimal stopping problems. J. Appl. Probab. 44(1):181–198.CrossrefGoogle Scholar
  • Wahab MIM, Lee CG (2011) Pricing swing options with regime switching. Ann. Oper. Res. 185(1):139–160.CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.