A first-order BSPDE for swing option pricing

Bender, C.; Dokuchaev, Nikolai

doi:10.1111/mafi.12067

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Access Status

Open access

Authors

Bender, C.

Dokuchaev, Nikolai

Date

2014

Type

Journal Article

Metadata

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Citation

Bender, C. and Dokuchaev, N. 2014. A first-order BSPDE for swing option pricing. Mathematical Finance. 26 (3): pp. 461-491.

Source Title

Mathematical Finance

DOI

10.1111/mafi.12067

ISSN

14679965

Remarks

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

URI

http://hdl.handle.net/20.500.11937/26843

Collection

Curtin Research Publications

Abstract

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.