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- Title
A Study on Optimal Multiple Stopping and Swing Options Pricing.
- Authors
Das, Atoshi; Hossaina, A. B. M. Shahadat
- 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.
- Subjects
OPTIMAL stopping (Mathematical statistics); MATHEMATICAL models of option; OPTIONS sales &; prices (Finance); STOCHASTIC processes; MARKET volatility; MATLAB (Computer software)
- Publication
Ganit: Journal of Bangladesh Mathematical Society, 2020, Vol 40, Issue 2, p145
- ISSN
1606-3694
- Publication type
Article
- DOI
10.3329/ganit.v40i2.51317