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| HAL : hal-00144517, version 1 |
| arXiv : 0705.0466 |
| DOI : 10.1142/S0219024910006030 |
| Fiche détaillée |  Récupérer au format |
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| International Journal of Theoretical and Applied Finance 13, 6 (2010) 867-899 ; http://dx.doi.org/10.1142/S0219024910006030 |
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| When are Swing options bang-bang and how to use it |
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| Olivier Aj Bardou 1Sandrine Bouthemy 1 |
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| (2010) |
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| In this paper we investigate a class of swing options with firm constraints in view of the modeling of supply agreements. We show, for a fully general payoff process, that the premium, solution to a stochastic control problem, is concave and piecewise affine as a function of the global constraints of the contract. The existence of bang-bang optimal controls is established for a set of constraints which generates by affinity the whole premium function. When the payoff process is driven by an underlying Markov process, we propose a quantization based recursive backward procedure to price these contracts. A priori error bounds are established, uniformly with respect to the global constraints. |
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| 1 : | Gaz de France, Research and Development Division (GDF-RDD) |
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Gaz de France |
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| 2 : | Laboratoire de Probabilités et Modèles Aléatoires (LPMA) |
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CNRS : UMR7599 – Université Pierre et Marie Curie [UPMC] - Paris VI – Université Paris VII - Paris Diderot |
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| Domaine | : | Mathématiques/Probabilités |
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| Swing option – stochastic control – optimal quantization – energy |
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| Liste des fichiers attachés à ce document : | ||||||||||
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| hal-00144517, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00144517 | |
| oai:hal.archives-ouvertes.fr:hal-00144517 | |
| Contributeur : Gilles Pagès | |
| Soumis le : Jeudi 3 Mai 2007, 15:46:20 | |
| Dernière modification le : Mardi 2 Avril 2013, 09:23:28 | |
