Technical paper/Swing options
Stochastic path-dependent volatility models for price–storage dynamics in natural gas markets and discrete-time swing option pricing
With a focus on price–storage dynamics in natural gas markets, the authors propose a stochastic path-dependent volatility model with path dependence in both price volatility and storage increments
Pricing swing options in electricity markets with two stochastic factors using a partial differential equation approach
This paper considers the numerical valuation of swing options in electricity markets based on a two-factor model.
Classic cutting edge: Swing options and the quest for valuation
Energy Risk presents a classic paper on swing options pricing by Patrick Jaillet, Ehud Ronn and Stathis Tompaidis, which was first published in 1998. It introduced the so-called binomial forest method, which was influential in the development of pricing…
Cutting edge: Impact of execution behaviour on valuation of optional financial contracts
Expected payoff maximisation is a commonly assumed strategy in valuation. S Hossein Hosseini, Qiaoyan Bian, Jay Chen and John Jiang suggest that execution strategies may vary due to complex option structures and their resulting uncertainties. Using a…