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Abstracts prior to volume 5(1) have been archived!

Issue 5(1), October 2010 -- Paper Abstracts
Girard  (p. 9-22)
Cooper (p. 23-32)
Kunz-Osborne (p. 33-41)
Coulmas-Law (p.42-46)
Stasio (p. 47-56)
Albert-Valette-Florence (p.57-63)
Zhang-Rauch (p. 64-70)
Alam-Yasin (p. 71-78)
Mattare-Monahan-Shah (p. 79-94)
Nonis-Hudson-Hunt (p. 95-106) 



JOURNAL OF ACCOUNTING AND FINANCE 


Finite Element Method for Pricing Swing Options under Stochastic Volatility 


Author(s): Edward P. C. Kao, Muhu Wang

Citation: Edward P. C. Kao, Muhu Wang, (2018) "Finite Element Method for Pricing Swing Options under Stochastic Volatility ",  Journal of Accounting and Finance, Vol. 18, ss. 3, pp. 26-45

Article Type: Research paper

Publisher: North American Business Press

Abstract:

This paper studies the pricing of a swing option under the stochastic volatility. A swing option is an
American -style contract with multiple exercise rights. As such, it is an optimal multiple-stopping time
problem. In this paper, we reduce the problem to a sequence of optimal single stopping time problems.
We propose an algorithm based on the finite element method to value the contract in a Black-Scholes -
Merton frame-work. In many real- world applications, the volatility is typically not a constant. Stochastic volatility models are commonly used for modeling dynamic changes of volatility. Here we introduce an approach to handle this added complication and present numerical results to demonstrate that the approach is accurate and efficient.