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Международная конференция «Stochastic Optimization and Optimal Stopping»
25 сентября 2012 г. 15:00, г. Москва, МИАН

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Pricing of swing options in continuous time

Christian Bender

Universität des Saarlandes



Аннотация: This talk is devoted to the pricing of swing options in continuous time. The holder of a swing option has the right to exercise a certain total volume up to maturity, but she is subjected to some constraints. Depending on the formulation of the constraints, swing option pricing can be treated as a multiple stopping problem or as a stochastic control problem. Both approaches are discussed in a general semimartingale setting.

Язык доклада: английский


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