Open AccessA Study on Optimal Multiple Stopping and Swing Options Pricing
Author(s) -
Atoshi Das,
Abm Shahadat Hossain
Publication year - 2021
Publication title -
ganit
Language(s) - English
Resource type - Journals
eISSN - 2224-5111
pISSN - 1606-3694
DOI - 10.3329/ganit.v40i2.51317
Subject(s) - swing , valuation (finance) , matlab , activity based costing , electricity , monte carlo method , optimal stopping , valuation of options , computer science , monte carlo methods for option pricing , exotic option , electricity market , mathematical optimization , actuarial science , economics , econometrics , mathematics , engineering , finance , statistics , electrical engineering , accounting , mechanical engineering , operating system
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