A First-Order BSPDE for Swing Option Pricing
arXiv:1305.3988 · doi:10.1111/mafi.12067
Abstract
We study an optimal control problem related to swing option pricing in a general non-Markovian setting in continuous time. As a main result we show that the value process solves a first-order non-linear backward stochastic partial differential equation. Based on this result we can characterize the set of optimal controls and derive a dual minimization problem.