Finite element valuation of swing options
Finite element valuation of swing options
复制标题
波动期权的有限元估值
DOI：
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发表时间：
2008
期刊：
影响因子：
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通讯作者：
Christoph Winter
中科院分区：
文献类型：
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作者：
M. Wilhelm;Christoph Winter
本文提出了一种基于有限元法的算法来对美式多行权波动合约进行估值。从而利用将多个停止时间问题减少为级联的单个停止时间问题。使用所提出的算法获得的数值结果显示出平滑且稳定的行为。这可以解释波动期权的最佳行权边界，并分析波动期权价格对初始现货价格的依赖性。有限元算法与蒙特卡罗和格子方法的比较证明了所提出的数值算法的优点。
In this paper an algorithm based on Finite Element Methods is presented to value American type of swing contracts with multiple exercise rights. Thereby the reduction of multiple stopping time problems to a cascade of single stopping time problems is utilized. The numerical results obtained with the proposed algorithm show a smooth and stable behavior. This allows an interpretation of the swing options’ optimal exercise boundaries and an analysis of the dependence of swing option prices on the initial spot prices. A comparison of the Finite Element algorithm to Monte Carlo and lattice methods demonstrates the strengths of the proposed numerical algorithm.