Search for dissertations about: "Commodity swing options"

Found 2 swedish dissertations containing the words Commodity swing options.

  1. 1. Pricing of Some Path-Dependent Options on Equities and Commodities

    University dissertation from Göteborg

    Author : Mats Kjaer; Göteborgs universitet.; Gothenburg University.; [2006]
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Cliquet options with global floor; Commodity swing options; Storage valuation; Correlation matrix modelling; Bachelier-Samuelson model; Jump-diffusion models; Futures curve models; Parabolic PDE PIDEs; Numerical integration; Finite difference methods.;

    Abstract : This thesis brings together three papers about the pricing of European and Bermudan path-dependent options, and one paper about the stochastic modelling of a futures price curve. Paper one proposes a fast numerical method to compute the price of so called cliquet options with global floor, when the underlying asset follows the Bachelier-Samuelson model. READ MORE

  2. 2. Some Applications of Variational Inequalities in Mathematical Finance and Numerics

    University dissertation from Centre for Mathematical Sciences, Lund University

    Author : Martin Dahlgren; Lunds universitet.; Lund University.; [2005]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Matematik; Mathematics; HJB quasi variational inequalities; option pricing; Impulse control; parabolic PDE; finite element method; Galerkin method;

    Abstract : This thesis contains two parts. The first part deals with a stochastic impulse control problem, subject to the restriction of a minimum time lapse in between interventions made by the controller. We prove existence of an optimal control and show that the value function of the control problem satisfies a system of quasi-variational inequalities. READ MORE