A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING
研究了连续时间非马尔可夫环境下摆动期权定价的最优控制问题，用一阶非线性倒向随机偏微分方程和微分包含唯一刻画了价值过程，并确定了最优控制集和导出对偶最小化问题。
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 uniquely characterize the value process in terms of a first‐order nonlinear backward stochastic partial differential equation and a differential inclusion. Based on this result we also determine the set of optimal controls and derive a dual minimization problem.