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VIDEO LIBRARY |
International conference "Stochastic Optimization and Optimal Stopping"
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Plenary talks
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Pricing of swing options in continuous time Christian Bender Universität des Saarlandes |
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Abstract: 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. Language: English |