THE SWING OPTION ON THE STOCK MARKET

Martin Dahlgren () and Ralf Korn ()
Additional contact information
Martin Dahlgren: Lund University, Centre for Mathematical Sciences, Box 118, SE-221 00 LUND, Sweden
Ralf Korn: University of Kaiserslautern & Fraunhofer ITWM, 67653 Kaiserslautern, Germany

International Journal of Theoretical and Applied Finance (IJTAF), 2005, vol. 08, issue 01, 123-139

Abstract: 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.

Keywords: Optimal stopping problem; HJB Variational Inequalities; option pricing (search for similar items in EconPapers)
Date: 2005
References: View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024905002895
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:08:y:2005:i:01:n:s0219024905002895

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024905002895

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().