Author : Marc Hanfeld
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (958 download)
Book Synopsis Operating a Swing Option on Today's Gas Markets by : Marc Hanfeld
Download or read book Operating a Swing Option on Today's Gas Markets written by Marc Hanfeld and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate, if it pays off for a company to invest into complex swing option algorithms. We first introduce least squares Monte Carlo as a complex valuation algorithm and explain in detail how it works. Using a simulation study and two backtest scenarios we compare the output of this method with a simple myopic approach, and evaluate the results also from a business point of view. We find that myopic operation performs fairly well, but given a certain contract size and a certain contract flexibility, LSMC clearly prevails.