A first-order BSPDE for swing option pricing
| dc.contributor.author | Bender, C. | |
| dc.contributor.author | Dokuchaev, Nikolai | |
| dc.date.accessioned | 2017-01-30T12:55:39Z | |
| dc.date.available | 2017-01-30T12:55:39Z | |
| dc.date.created | 2014-05-21T20:00:37Z | |
| dc.date.issued | 2014 | |
| dc.identifier.citation | Bender, C. and Dokuchaev, N. 2014. A first-order BSPDE for swing option pricing. Mathematical Finance. 26 (3): pp. 461-491. | |
| dc.identifier.uri | http://hdl.handle.net/20.500.11937/26843 | |
| dc.identifier.doi | 10.1111/mafi.12067 | |
| dc.description.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. | |
| dc.publisher | John Wiley & Sons | |
| dc.subject | Backward SPDE | |
| dc.subject | stochastic optimal control | |
| dc.subject | swing options | |
| dc.title | A first-order BSPDE for swing option pricing | |
| dc.type | Journal Article | |
| dcterms.source.volume | 24 | |
| dcterms.source.startPage | 1 | |
| dcterms.source.endPage | 31 | |
| dcterms.source.issn | 14679965 | |
| dcterms.source.title | Mathematical Finance | |
| curtin.note |
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 | |
| curtin.department | ||
| curtin.accessStatus | Open access |