RUS  ENG JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PERSONAL OFFICE
Video Library
Archive
Most viewed videos

Search
RSS
New in collection





You may need the following programs to see the files






International conference "Stochastic Optimization and Optimal Stopping"
September 25, 2012 15:00, Moscow, Steklov Mathematical Institute of RAS
 

Plenary talks


Pricing of swing options in continuous time

Christian Bender

Universität des Saarlandes
Video records:
Flash Video 2,019.1 Mb
Flash Video 336.7 Mb
MP4 336.7 Mb

Number of views:
This page:247
Video files:48

Christian Bender
Photo Gallery


Видео не загружается в Ваш браузер:
  1. Установите Adobe Flash Player    

  2. Проверьте с Вашим администратором, что из Вашей сети разрешены исходящие соединения на порт 8080
  3. Сообщите администратору портала о данной ошибке

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

SHARE: VKontakte.ru FaceBook Twitter Mail.ru Livejournal Memori.ru
 
Contact us:
 Terms of Use  Registration  Logotypes © Steklov Mathematical Institute RAS, 2017