A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING |
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Authors: | Christian Bender Nikolai Dokuchaev |
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Institution: | 1. Saarland University;2. Curtin University |
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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 uniquely characterize the value process in terms of a first‐order nonlinear backward stochastic partial differential equation and a differential inclusion. Based on this result we also determine the set of optimal controls and derive a dual minimization problem. |
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Keywords: | backward SPDE stochastic optimal control swing options |
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