Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach

摘要: In the natural gas market, many derivative contracts have a large degree of flexibility. These are known as Swing or Take-Or-Pay options. They allow their owner to purchase daily, at fixed price and according volume choice. Daily, monthly and/or annual constraints on purchased usually incorporated. Thus, valuation such is related stochastic control problem, which we solve in this paper using new numerical methods. Firstly, extend Longstaff–Schwarz methodology (originally used for Bermuda options) our case. Secondly, propose two efficient parameterizations consumption, one based neural networks other finite elements. It allows us derive local optimal consumption law gradient ascent. Numerical experiments illustrate efficiency these approaches. Furthermore, show that bang-bang type.