Archived publication

Archived publication

Valuation of commodity-based swing options: a survey

Løland, Anders; Lindqvist, Ola

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