A First-Order BSPDE for Swing Option Pricing

Christian Bender and Nikolai Dokuchaev

Papers from arXiv.org

Abstract: We study an optimal control problem related to swing option pricing in a general non-Markovian setting in continuous time. As a main result we show that the value process solves a first-order non-linear backward stochastic partial differential equation. Based on this result we can characterize the set of optimal controls and derive a dual minimization problem.

Date: 2013-05
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Citations: View citations in EconPapers (2)

Published in Mathematical Finance, Vol. 26, 461-491, 2016

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