A First-Order BSPDE for Swing Option Pricing
Pricing of Securities
2021-05-31 v1 Analysis of PDEs
Probability
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.
Keywords
Cite
@article{arxiv.1305.3988,
title = {A First-Order BSPDE for Swing Option Pricing},
author = {Christian Bender and Nikolai Dokuchaev},
journal= {arXiv preprint arXiv:1305.3988},
year = {2021}
}