Eriksson, Marcus; Lempa, Jukka; Nilssen, Trygve - In: Mathematical Methods of Operations Research 79 (2014) 1, pp. 31-67
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...
