A first-order BSPDE for swing option pricing
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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.
This is the accepted version of the following article: Bender, C. and Dokuchaev, N. 2014. A first-order BSPDE for swing option pricing. Mathematical Finance. [In Press]., which has been published in final form at http://doi.org/10.1111/mafi.12067