Pricing of Energy Contracts: From Replication Pricing to Swing Options

2013 ◽  
pp. 387-411 ◽  
Author(s):  
Raimund M. Kovacevic ◽  
Georg Ch. Pflug
Keyword(s):  
Swing Options

Valuation of commodity-based swing options

2010 ◽  
Vol 3 (3) ◽  
pp. 91-112 ◽  
Author(s):  
Rudiger Kiesel ◽  
Jochen Gernhard ◽  
Sven-Olaf Stoll
Keyword(s):  
Swing Options

Valuation of power swing options

2013 ◽  
Vol 6 (3) ◽  
pp. 89-110
Author(s):  
Nadi Serhan Aydın ◽  
Martin Rainer
Keyword(s):  
Swing Options ◽  
Power Swing

scholarly journals Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach

2006 ◽  
Vol 8 (4) ◽  
pp. 517-540 ◽  
Author(s):  
Christophe Barrera-Esteve ◽  
Florent Bergeret ◽  
Charles Dossal ◽  
Emmanuel Gobet ◽  
Asma Meziou ◽  
...  
Keyword(s):  
Numerical Methods ◽  
Stochastic Control ◽  
Swing Options ◽  
Control Approach

Pricing swing options with regime switching

2009 ◽  
Vol 185 (1) ◽  
pp. 139-160 ◽  
Author(s):  
M. I. M. Wahab ◽  
Chi-Guhn Lee
Keyword(s):  
Regime Switching ◽  
Swing Options

scholarly journals WHEN ARE SWING OPTIONS BANG-BANG?

2010 ◽  
Vol 13 (06) ◽  
pp. 867-899 ◽  
Author(s):  
OLIVIER BARDOU ◽  
SANDRINE BOUTHEMY ◽  
GILLES PAGÈS
Keyword(s):  
Markov Process ◽  
Stochastic Control ◽  
Error Bounds ◽  
A Priori ◽  
Global Constraints ◽  
Optimal Controls ◽  
Swing Options ◽  
A Priori Error Bounds ◽  
Piecewise Affine ◽  
Backward Procedure

In this paper we investigate a class of swing options with firm constraints in view of the modeling of supply agreements. We show, for a fully general payoff process, that the premium, solution to a stochastic control problem, is concave and piecewise affine as a function of the global constraints of the contract. The existence of bang-bang optimal controls is established for a set of constraints which generates by affinity the whole premium function. When the payoff process is driven by an underlying Markov process, we propose a quantization based recursive backward procedure to price these contracts. A priori error bounds are established, uniformly with respect to the global constraints.

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