English, Article edition: THE SWING OPTION ON THE STOCK MARKET MARTIN DAHLGREN; RALF KORN

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/82861
Physical Description
  • article
Language
  • English

Edition details

Title
  • THE SWING OPTION ON THE STOCK MARKET
Author
  • MARTIN DAHLGREN
  • RALF KORN
Physical Description
  • article
Notes
  • The valuation of a Swing option for stocks under the additional constraint of a minimum time distance between two different exercise times is considered. We give an explicit characterization of its pricing function as the value function of a multiple optimal stopping problem. The solution of this problem is related to a system of variational inequalities. We prove existence of a solution to this system and discuss the numerical implementation of a valuation algorithm.
  • Optimal stopping problem, HJB Variational Inequalities, option pricing
  • RePEc:wsi:ijtafx:v:08:y:2005:i:01:p:123-139
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment