PRICING OF SWING OPTIONS IN A MEAN REVERTING MODEL WITH JUMPS MATS KJAER G¨ oteborg University Abstract. We investigate the pricing of swing options in a model where the

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Date: 2007-03-27 13:47:19 Mathematical finance Options Probability theory Risk-neutral measure Forward contract Trinomial tree Futures contract Characteristic function Distribution HullWhite model		PRICING OF SWING OPTIONS IN A MEAN REVERTING MODEL WITH JUMPS MATS KJAER G¨ oteborg University Abstract. We investigate the pricing of swing options in a model where the Add to Reading List Source URL: www.bbk.ac.uk Download Document from Source Website File Size: 243,99 KB Share Document on Facebook

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