Swing Option Valuation Using Monte Carlo Simulations

Gravås, Petter

June 01, 2004

SAMBA

• Areas: Finance, insurance and power market
• Keywords: Swing option, valuation, least squares, Monte Carlo simulations
• Page(s): 40
• Name and number of project: 8300105
• Title: Swing Option Valuation Using Monte Carlo Simulations
• Author(s): Gravås, Petter
• Report number: SAMBA/16/04
• Published date: June 01, 2004