Pricing of Swing Options in a Mean Reverting Model with Jumps

ISSN： 1466-4313

Source： Applied Mathematical Finance, Vol.15, Iss.5-6, 2008-01, pp. : 479-502

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality

By Cartea Álvaro Figueroa Marcelo

Applied Mathematical Finance, Vol. 12, Iss. 4, 2005-12 ,pp. : 313-335

Routledge Ltd

Access to resources Recommend Favorite

Pricing of Parisian Options for a Jump-Diffusion Model with Two-Sided Jumps

By Albrecher Hansjörg Kortschak Dominik Zhou Xiaowen

Applied Mathematical Finance, Vol. 19, Iss. 2, 2012-04 ,pp. : 97-129

Routledge Ltd

Access to resources Recommend Favorite

Optimal Quantization for the Pricing of Swing Options

By Bardou Olivier Bouthemy Sandrine Pages Gilles

Applied Mathematical Finance, Vol. 16, Iss. 2, 2009-01 ,pp. : 183-217

Routledge Ltd

Access to resources Recommend Favorite

Pricing VIX options with stochastic volatility and random jumps

By Lian Guang-Hua

Decisions in Economics and Finance, Vol. 36, Iss. 1, 2013-05 ,pp. : 71-88

Springer Publishing Company

Access to resources Recommend Favorite

Analytical approximation method of option pricing under geometric mean-reverting process

By Liu R. H.

International Journal of Computer Mathematics, Vol. 86, Iss. 6, 2009-06 ,pp. : 1082-1092

Taylor & Francis Ltd

Access to resources Recommend Favorite