Abstract
In this paper fair values of hourly exercisable swing options written as the underlying on the EEX spot price are calculated using three different two-factor models: a regime-switching AR process, a jump-diffusion process with Bernoulli jump terms and a normal inverse Gaussian process. An efficient least squares Monte Carlo algorithm is introduced and applied to swing options with up to 5,000 exercise rights. Finally, the three models are compared with a focus on their ability to reproduce the characteristics of the EEX spot prices and the swing option values resulting for different numbers of exercise rights.
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.
