A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes

Published 2020 View Full Article

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Title
A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
Authors
Keywords
Swing option, Electricity spot price, Dynamic programming, Trinomial tree method, Least-squares Monte-Carlo (LSM)
Journal
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
Volume -, Issue -, Pages 113132
Publisher
Elsevier BV
Online
2020-08-05
DOI
10.1016/j.cam.2020.113132

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