Valuation of Commodity-Based Swing Options

By Patrick Jaillet, Ehud I. Ronn, S. Tompaidis. Management Sciences, 2004

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OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008, background): “As reported in [16] the existence of such a refracting time period is part of the actual swing contracts traded in the energy markets.”
Modelling spikes and pricing swing options in electricity markets (2009, methodology): “The tree method of Jaillet et al. (2004) requires a discrete time model of the underlying.”
Valuation of energy storage: an optimal switching approach (2010, background): “In discrete time, the representation of V(t1, g, c, i) in (10) reduces to deciding between immediate switch at t1 to some other regime j, which must then be maintained until t2 (i.e. ¼ t1 in (10)), versus no switching and therefore maintaining regime i until t2 ( 4t1, t2).”
Hedging quantity risks with standard power options in a competitive wholesale electricity market (2006, background): “Swing options are well studied in the literature, for example: [6, 11, 12, 17].”