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A Continuous Time Model to Price Commodity-Based Swing Options · Study

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ArticleA Continuous Time Model to Price Commodity-Based Swing Options

Martin Dahlgren2005

Article2005

A Continuous Time Model to Price Commodity-Based Swing Options

Martin Dahlgren

30 citations·0/0 files stored·Review of Derivatives Research

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Stochastic processes and financial applications Capital Investment and Risk Analysis Risk and Portfolio Optimization

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References

2007Brownian Motion and Stochastic Calculus 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging 1988Brownian Motion and Stochastic Calculus 1998Arbitrage Theory in Continuous Time 1993Efficient Procedures for Valuing European and American Path-Dependent Options 2004Valuation of Commodity-Based Swing Options 2001Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics 2004Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier

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Year2005

Typearticle

Published2005-06-01

VenueReview of Derivatives Research

ISSN-L1380-6645

Languageen

Citations30

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s11147-005-1006-9

openalex_workW2019422091

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