dc.contributor.author | Eriksson, Marcus | en_US |
dc.contributor.author | Lempa, Jukka | en_US |
dc.contributor.author | Nilssen, Trygve Kastberg | en_US |
dc.date.accessioned | 2015-03-16T12:37:10Z | |
dc.date.available | 2015-03-16T12:37:10Z | |
dc.date.issued | 2013-08-29 | en_US |
dc.identifier.citation | Eriksson, Marcus Karl Viren Lempa, Jukka Nilssen, Trygve Kastberg . Swing options in commodity markets: A multidimensional Lévy diffusion model. Mathematical Methods of Operations Research. 2014, 79(1), 31-67 | en_US |
dc.identifier.issn | 1432-2994 | en_US |
dc.identifier.other | FRIDAID 1008840 | en_US |
dc.identifier.uri | https://hdl.handle.net/10642/2524 | |
dc.description.abstract | We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a valuation model in terms of a dynamic programming problem where the option can be exercised continuously in time. Here, the number of swing rights is given by a total volume constraint. We analyze some general properties of the model and study the solution by analyzing the associated HJB-equation. Furthermore, we discuss the issues caused by the multi-dimensionality of the commodity price model. The results are illustrated numerically with three explicit examples. | en_US |
dc.description.sponsorship | Norges forskningsråd 205328 | en_US |
dc.language.iso | eng | en_US |
dc.publisher | Springer | en_US |
dc.relation.ispartofseries | Mathematical Methods of Operations Research;79(1) | en_US |
dc.subject | Swing option | en_US |
dc.subject | Flexible load contract | en_US |
dc.subject | Dynamic programming problem | en_US |
dc.subject | Multi-factor model | en_US |
dc.subject | Lévy diffusion | en_US |
dc.subject | HJB-equation | en_US |
dc.subject | Finite difference method | en_US |
dc.title | Swing options in commodity markets: A multidimensional Lévy diffusion model | en_US |
dc.type | Journal article | en_US |
dc.type | Peer reviewed | en_US |
dc.description.version | This is a postprint version of the published article. The definitive version is available at springerlink.com | en_US |
dc.identifier.doi | http://dx.doi.org/10.1007/s00186-013-0452-7 | |