Abstract
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
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
