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Article Dans Une Revue Quantitative Finance Année : 2013

Efficient pricing of swing options in Lévy-driven models

Antonino Zanette
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Résumé

We consider the problem of pricing swing options with multiple exercise rights in Lévy-driven models. We propose an efficient Wiener-Hopf factorisation method that solves multiple parabolic partial integro-differential equations associated with the pricing problem. We compare the proposed method with a finite difference algorithm. Both proposed deterministic methods are related to the dynamic programming principle and lead to the solution of a multiple optimal stopping problem. Numerical examples illustrate the efficiency and the precision of the proposed methods.
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Dates et versions

hal-00918582 , version 1 (17-12-2013)

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Citer

Oleg Kudryavtsev, Antonino Zanette. Efficient pricing of swing options in Lévy-driven models. Quantitative Finance, 2013, 13 (4), pp.627-635. ⟨10.1080/14697688.2012.717708⟩. ⟨hal-00918582⟩
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