A Study on Optimal Multiple Stopping and Swing Options Pricing

Authors

  • Atoshi Das Department of Applied Mathematics, University of Dhaka, Dhaka-1000, Bangladesh
  • ABM Shahadat Hossain Department of Applied Mathematics, University of Dhaka, Dhaka-1000, Bangladesh

DOI:

https://doi.org/10.3329/ganit.v40i2.51317

Keywords:

Optimal multiple stopping; Multiple American exercise; Swing options; Volatility; Ornstein- Uhlenback process

Abstract

In this paper, we have studied the optimal stopping of random process as well as the costing of Swing options, specially the valuation of electricity market which is considered to an American style option having multiple practicing rights. Since this type of options are widely used in investing, so it requires some methods for valuation and that should be as precise as possible. So, we discuss two numerical methods for getting swing options prices in the field of electricity market, namely Monte Carlo and Finite difference. Finally, we compare our obtained results numerically and graphically with the help of MATLAB.

GANIT J. Bangladesh Math. Soc. 40.2 (2020) 145-155

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Published

2021-01-11

How to Cite

Das, A., & Hossain, A. S. (2021). A Study on Optimal Multiple Stopping and Swing Options Pricing. GANIT: Journal of Bangladesh Mathematical Society, 40(2), 145–155. https://doi.org/10.3329/ganit.v40i2.51317

Issue

Vol. 40 No. 2 (2020)

Section

Articles

License

The copyright of GANIT: Journal of Bangladesh Mathematical Society is reserved by Bangladesh Mathematical Society (web: https://bdmathsociety.org/)