Valuation of Swing Options under a Regime-Switching Mean-Reverting Model

<div>Option values when <b>1</b> right is used (<svg height="8.39864pt" id="M485" style="vertical-align:-0.04981995pt" version="1.1" viewbox="-0.0498162 -8.34882 6.36303 8.39864" width="6.36303pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M384 0V27C293 34 287 42 287 114V635C232 613 172 594 109 583V559L157 557C201 555 205 550 205 499V114C205 42 199 34 109 27V0H384Z"></path></g></svg> right left).</div>

Mathematical Problems in Engineering

tab5

Table 5

Table 5: Valuation of Swing Options under a Regime-Switching Mean-Reverting Model 