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We investigate, if it pays off for a company to invest into complex swing option algorithms. First, least squares Monte Carlo as a complex valuation algorithm is introduced and explained in detail. Using a simulation study and two backtest scenarios we then compare the output of this method with a simple myopic approach, and evaluate the results also from a business point of view. We find that myopic operation performs fairly well, but given a certain contract flexibility LSMC clearly prevails.

Operating a Swing Option on Today’s Gas Markets – How Least Squares Monte Carlo Works and Why it is Beneficial