A first-order BSPDE for swing option pricing

Author: Andersen, Bardou, Barrera-Esteve, Bender, Bender, Bender, Benth, Brown, Carmona, Carmona, Dokuchaev, Du, Du, Haugh, Hu, Jaillet, Karatzas, Karatzas, Keppo, Ma, Meinshausen, Peng, Rogers, Rogers, Rozovskii, Schoenmakers, Zeghal
Publisher: Wiley

ABOUT BOOK

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

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