Pricing swing options with regime switching

Annals of Operations Research

Volumn 185, Issue 1, 2011, Pages 139-160

  Wahab, M I M ^a   Lee, Chi Guhn ^b  

^a RYERSON UNIVERSITY   (Canada)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Lattice approach; Regime switching process; Swing options

Indexed keywords

EID: 79953697446     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-009-0599-z     Document Type: Article

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