Valuation of Commodity-Based Swing Options
针对能源市场（特别是电力和天然气）中常见的摆动期权，利用远期价格和波动率构建定价框架，基于均值回复随机过程并考虑季节性，提出数值估值方案。
In the energy markets, in particular the electricity and natural gas markets, many contracts incorporate flexibility-of-delivery options known as “swing” or “take-or-pay” options. Subject to daily as well as periodic constraints, these contracts permit the option holder to repeatedly exercise the right to receive greater or smaller amounts of energy. We extract market information from forward prices and volatilities and build a pricing framework for swing options based on a one-factor mean-reverting stochastic process for energy prices that explicitly incorporates seasonal effects. We present a numerical scheme for the valuation of swing options calibrated for the case of natural gas.