International Journal of Theoretical and Applied Finance 是几区的-刊鹿论文编译

SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION

Abstract:

Swing options are a type of exotic financial derivative which generalize American options to allow for multiple early-exercise actions during the contract period. These contracts are widely traded in commodity and energy markets, but are often difficult to value using standard techniques due to their complexity and strong path-dependency. There are numerous interesting varieties of swing options, which differ in terms of their intermediate cash flows, and the constraints (both local and global) which they impose on early-exercise (swing) decisions. We introduce an efficient and general purpose transform-based method for pricing discrete and continuously monitored swing options under exponential Levy models, which applies to contracts with fixed rights clauses, as well as recovery time delays between exercise. The approach combines dynamic programming with an efficient method for calculating the continuation value between monitoring dates, and applies generally to multiple early-exercise contracts, providing a unified framework for pricing a large class of exotic derivatives. Efficiency and accuracy of the method are supported by a series of numerical experiments which further provide benchmark prices for future research.

Author Listing： J. Lars Kirkby;Shi-Jie Deng

Volume： 22

Pages： 1950038

DOI： 10.1142/s0219024919500389

Language： English

Journal： International Journal of Theoretical and Applied Finance

International Journal of Theoretical and Applied Finance

INT J THEOR APPL FIN

影响因子：0.4

是否综述期刊：否

是否OA：否

是否预警：不在预警名单内

发行时间：-

ISSN：0219-0249

发刊频率：-

收录数据库：ESCI/Scopus收录

出版国家/地区：-

出版社：World Scientific

期刊介绍

年发文量	29
国人发稿量	2
国人发文占比	6.25%
自引率	0.0%
平均录取率	-
平均审稿周期	-
版面费	-
偏重研究方向	BUSINESS, FINANCE-
期刊官网	-
投稿链接	-

质量指标占比

研究类文章占比	OA被引用占比	撤稿占比	出版后修正文章占比
96.55%	3.37%	-	-

预警情况

时间	预警情况
2025年03月发布的2025版	不在预警名单中
2024年02月发布的2024版	不在预警名单中
2023年01月发布的2023版	不在预警名单中
2021年12月发布的2021版	不在预警名单中
2020年12月发布的2020版	不在预警名单中

JCR分区 WOS分区等级：Q4区

版本	按学科	分区
WOS期刊SCI分区（2021-2022年最新版）
	BUSINESS, FINANCE	Q4

中科院分区

版本	大类学科	小类学科	Top期刊	综述期刊
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