dc.contributor.author | Eriksson, Marcus | |
dc.contributor.author | Lempa, Jukka | |
dc.contributor.author | Nilssen, Trygve Kastberg | |
dc.date.accessioned | 2014-01-24T12:22:55Z | |
dc.date.available | 2014-01-24T12:22:55Z | |
dc.date.issued | 2013 | |
dc.identifier.citation | Eriksson, M., Lempa, J., & Nilssen, T. K. (2013). Swing options in commodity markets: a multidimensional Lévy diffusion model. Mathematical Methods of Operations Research, 1-37. doi: 10.1007/s00186-013-0452-7 | no_NO |
dc.identifier.issn | 1432-2994 | |
dc.identifier.uri | http://hdl.handle.net/11250/136058 | |
dc.description | Author's version of an article in the journal: Mathematical Methods of Operations Research. Also available from the publisher at: http://dx.doi.org/10.1007/s00186-013-0452-7 | no_NO |
dc.description.abstract | We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a valuation model in terms of a dynamic programming problem where the option can be exercised continuously in time. Here, the number of swing rights is given by a total volume constraint. We analyze some general properties of the model and study the solution by analyzing the associated HJB-equation. Furthermore, we discuss the issues caused by the multi-dimensionality of the commodity price model. The results are illustrated numerically with three explicit examples. | no_NO |
dc.language.iso | eng | no_NO |
dc.publisher | Springer | no_NO |
dc.subject | swing option | no_NO |
dc.subject | flexible load contract | no_NO |
dc.subject | dynamic programming problem | no_NO |
dc.subject | multi-factor model | no_NO |
dc.subject | Lévy diffusion | no_NO |
dc.subject | HJB-equation | no_NO |
dc.subject | finite difference method | no_NO |
dc.title | Swing options in commodity markets: a multidimensional Lévy diffusion model | no_NO |
dc.type | Journal article | no_NO |
dc.type | Peer reviewed | no_NO |
dc.subject.nsi | VDP::Social science: 200::Economics: 210::Economics: 212 | no_NO |
dc.source.pagenumber | 1-37 | no_NO |
dc.source.journal | Mathematical Methods of Operations Research | no_NO |
dc.identifier.doi | 10.1007/s00186-013-0452-7 | |