When are swing options bang-bang?

International Journal of Theoretical and Applied Finance

Volumn 13, Issue 6, 2010, Pages 867-899

  Bardou, Olivier ^a   Bouthemy, Sandrine ^a   Pagès, Gilles ^b  

^a GDF SUEZ   (France)

^b SORBONNE UNIVERSITÉ   (France)

Author keywords

energy; optimal quantization; stochastic control; Swing option

Indexed keywords

EID: 77956321465     PISSN: 02190249     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0219024910006030     Document Type: Article

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