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The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model

Lingjie Shao1, Kaili Xiang1, Yang Song1

  • 1School of Economics and Mathematics, Southwestern University of Finance and Economics, Chengdu, China.

Journal of Inequalities and Applications
|March 7, 2019
PubMed

Keywords:
Mean-revertingRegime-switchingSwing optionsVariational inequalitiesViscosity solutions

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