Archived publication
Archived publication
Valuation of commodity-based swing options: a survey
4830/L_land_-_Valuation_of_commodity-based_swing_options_a_surv.pdf
October 27, 2008
SAMBA
- Filename: 4830/L_land_-_Valuation_of_commodity-based_swing_options_a_surv.pdf
- Areas: Finance, insurance and commodities
- Keywords: Energy prices, dynamic programmin, least squares Monte Carlo, carry forward
- Page(s): 33
- Name and number of project: SFI04-Swing 220370
- Title: Valuation of commodity-based swing options: a survey
- Author(s): Løland, Anders; Lindqvist, Ola
- Report number: SAMBA/38/08
- Published date: October 27, 2008