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A Continuous Time Model to Price Commodity-Based Swing Options
14 references·2 citing·40 second hop
A Continuous Time Model to Price Commodity-Based Swing Options (2005)A Continuous Time Model to Price Commodit…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Valuation of Commodity-Based Swing Options (2004)Valuation of Commodity-Based …Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities (2004)Valuation by Simulation of Co…Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier (2004)Monte Carlo Valuation of Amer…A Newton method for American option pricing (2002)A Newton method for American …Optionsbewertung und Portfolio-Optimierung (2001)Optionsbewertung und Portfoli…Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics (2001)Option Pricing and Portfolio …Some applications of impulse control in mathematical finance (1999)Some applications of impulse …Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Valuation of Path-Dependent Contingent Claims with Multiple Exercise Decisions over Time: The Case of Take-Or-Pay (1995)Valuation of Path-Dependent C…Corporate Risk Management (1995)Corporate Risk ManagementEfficient Procedures for Valuing European and American Path-Dependent Options (1993)Efficient Procedures for Valu…Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochasti…Assessing the value and risk of renewable PPAs (2024)Assessing the value and risk …On the optimal exercise of swing options in electricity markets (2011)On the optimal exercise of sw…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Target Zones and Exchange Rate Dynamics (1991)Controlled Markov Processes and Viscosity Solutions (2005)OPTIMAL DIVIDEND POLICY WITH MEAN‐REVERTING CASH RESERVOIR (2006)A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (2008)Impulse Control of Multidimensional Jump Diffusions (2010)Options: A Monte Carlo approach (1977)Option pricing: A simplified approach (1979)Term Structure Movements and Pricing Interest Rate Contingent Claims (1986)Asian Options, the Sum of Lognormals, and the Reciprocal Gamma Distribution (1998)Pricing Options under Generalized GARCH and Stochastic Volatility Processes (1999)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Valuing Simple Multiple-Exercise Real Options in Infrastructure Projects (2007)OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008)Valuation of energy storage: an optimal switching approach (2009)An equilibrium characterization of the term structure (1977)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)What do we learn from the price of crude oil futures? (2010)The Fundamentals of Commodity Futures Returns (2012)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)UK gas markets: The market price of risk and applications to multiple interruptible supply contracts (2007)Growing short rotation coppice on agricultural land in Germany: A Real Options Approach (2012)Real options analysis for land use management: Methods, application, and implications for policy (2015)Coping with Chile's External Vulnerability: A Financial Problem (2001)Corporate risk management (2002)Credit risk management: a survey of practices (2006)A general version of the fundamental theorem of asset pricing (1994)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Optimal investment for a pension fund under inflation risk (2009)Stochastic Partial Differential Equations and Portfolio Choice (2010)Mutual relevance of investor sentiment and finance by modeling coupled stochastic systems with MARS (2020)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1988Brownian Motion and Stochastic Calculus1,544 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 1993Efficient Procedures for Valuing European and American Path-Dependent Options277 cited
  • 2004Valuation of Commodity-Based Swing Options276 cited
  • 2001Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics161 cited
  • 2004Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier143 cited
  • 1999Some applications of impulse control in mathematical finance132 cited
  • 1995Corporate Risk Management102 cited
  • 2001Optionsbewertung und Portfolio-Optimierung82 cited
  • 1995Valuation of Path-Dependent Contingent Claims with Multiple Exercise Decisions over Time: The Case of Take-Or-Pay77 cited
  • 2004Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities51 cited
  • 2002A Newton method for American option pricing41 cited

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  • 2011On the optimal exercise of swing options in electricity markets

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26 cited
  • 2024Assessing the value and risk of renewable PPAs22 cited