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Rudiger Kiesel
Title: Valuation of Commodity-based Swing Options
Abctract
We consider two different types of Swing options, namely Swing options that require a certain recovery time between the exercise of two swing rights and Swing options with a limited number of swing rights.
We consider the Swing option with recovery time on the oil market, where we model the oil price by an Ornstein-Uhlenbeck process. The second type of Swing option will be considered on the electricity market. Here, the electricity price will be modeled by regime-switching model. The pricing of the two types of Swing options is done by a Monte-Carlo least squares approach and the finite difference method.
We apply the two methods to a numerical example and compare the results.
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