A Software Tool for the Valuation and Optimal Exercise of Swing Options

Electricity swing options represent a special kind of American-style path dependent power derivatives. Thus, valuation of a swing option is inevitably linked to the determination of an optimal excercise strategy up to the end of the option's exercise period. In cooperation with a major European power producer and trader, this project deals with swing option valuation by means of a special multistage stochastic programming approach: a software tool was developed and implemented which accomplishes the requirements of a trading department with respect to pricing accuracy, run-time behaviour and handling comfort.


Year:
2003
Publisher:
St.Gallen, Institute for Operations Research and Computational Finance, University of St. Gallen
Keywords:
Note:
Software documtentation
Laboratories:




 Record created 2014-02-04, last modified 2018-03-17

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