شماره ركورد كنفرانس :
3503
عنوان مقاله :
Pricing swing options in the electricity market using stochastic optimal control approach
Author/Authors :
Z. Ahmadi Tarbiat Modares University , S. M. Hosseini Tarbiat Modares University , A. Foroush Bastani Institute for Advanced Studies in Basic Sciences
كليدواژه :
Stochastic optimal control , LSM , Regime switching , Swing option
عنوان كنفرانس :
چهل و هفتمين كنفرانس رياضي ايران
چكيده لاتين :
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.
