Sökning: "Commodity swing options"
Hittade 2 avhandlingar innehållade orden Commodity swing options.
1. Pricing of Some Path-Dependent Options on Equities and Commodities
Sammanfattning : This thesis brings together three papers about the pricing of European and Bermudan path-dependent options, and one paper about the stochastic modelling of a futures price curve. Paper one proposes a fast numerical method to compute the price of so called cliquet options with global floor, when the underlying asset follows the Bachelier-Samuelson model. LÄS MER
2. Some Applications of Variational Inequalities in Mathematical Finance and Numerics
Sammanfattning : This thesis contains two parts. The first part deals with a stochastic impulse control problem, subject to the restriction of a minimum time lapse in between interventions made by the controller. We prove existence of an optimal control and show that the value function of the control problem satisfies a system of quasi-variational inequalities. LÄS MER