A first-order BSPDE for swing option pricing
Year of publication: |
July 2016
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Authors: | Bender, Christian ; Dokučaev, Nikolaj G. |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 26.2016, 3, p. 461-491
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Subject: | backward SPDE | stochastic optimal control | swing options | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Optionsgeschäft | Option trading |
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