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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

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Christian Bender
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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

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