WHEN ARE SWING OPTIONS BANG-BANG?
Year of publication: |
2010
|
---|---|
Authors: | BARDOU, OLIVIER ; BOUTHEMY, SANDRINE ; PAGÈS, GILLES |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 13.2010, 06, p. 867-899
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Swing option | stochastic control | optimal quantization | energy |
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