Latest News

About CAMQ

Information for Authors

Editorial Board

Browse CAMQ Online

Subscription and Pricing

CAMQ Contacts

CAMQ Home

 

Volume 9,     Number 1,     Spring 2001

 

A DISCRETE VALUATION OF SWING OPTIONS
ALI LARI-LAVASSANI, MOHAMADREZA SIMCHI AND ANTONY WARE

Abstract. A discrete forest methodology is developed for swing options as a dynamically coupled system of European options. Numerical implementations are fully developed for one- and two-factor, mean-reverting, underlying processes, with application to energy markets. Convergence is established via finite-difference methods. Qualitative properties and sensitivity analysis are considered.

 

Download PDF Files
 
(Subscribers Only)

© 2005, Canadian Applied Mathematics Quarterly (CAMQ)