شماره ركورد كنفرانس :
4079
عنوان مقاله :
Pricing swing options in the electricity market using stochastic optimal control approach
پديدآورندگان :
Ahmadi Z z.ahmady@modares.ac.ir Tarbiat Modares University , Hosseini S.M hossei_m@modares.ac.ir Tarbiat Modares University , Foroush Bastani A bastani@iasbs.as.ir Institute for Advanced Studies in Basic Sciences
كليدواژه :
Swing option , Regime switching , LSM , Stochastic optimal control
عنوان كنفرانس :
چهل و هفتمين كنفرانس رياضي ايران
چكيده فارسي :
The electricity prices are known to be mean-reverting, highly volatile subject to frequent
spikes. We set a regime-switching process for the price dynamic that contains three regimes.
This kind of process is approximated by a heptalnomial tree. In this paper, we develop LSM and
forest of tree method for the pricing of swing options when the underlying electricity market is
modeled by a regime-switching process
