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• W2477392973 abstract "In this chapter we model, in a continuous time framework, a gas swing contract in the spirit of [9], with one additional state variable corresponding to a stochastic strike price. In fact, in most real contracts, the strike is not a fixed number, but a market index that is updated monthly: this results in a mixed discrete/continuous stochastic control problem that we reduce to the usual continuous time situation by adding a new state variable, corresponding to an index rolled over in continuous time. The price of a swing contract is then equal to the value function of a sequence of Markov stochastic optimal control problems, each one corresponding to a time interval between two consecutive changing dates of the index, the typical length being one month." @default.
• W2477392973 created "2016-08-23" @default.
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• W2477392973 date "2016-01-01" @default.
• W2477392973 modified "2023-09-23" @default.
• W2477392973 title "Algorithms Comparison: The Swing Case" @default.
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• W2477392973 doi "https://doi.org/10.1057/9781137412973_6" @default.
• W2477392973 hasPublicationYear "2016" @default.
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