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

<div>Option values when <svg height="8.48998pt" id="M562" style="vertical-align:-0.2324896pt" version="1.1" viewbox="-0.0498162 -8.25749 6.62401 8.48998" width="6.62401pt" 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="M252 635C85 635 28 460 28 311C28 167 82 -12 250 -12C419 -12 472 166 472 312C472 457 419 635 252 635ZM248 594C314 594 335 455 335 314C335 174 318 29 252 29S165 180 165 315S181 594 248 594Z"></path></g></svg> rights are used (<svg height="8.39864pt" id="M563" 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="M412 140C382 77 369 73 315 73H129L270 222C362 320 402 379 402 466C402 571 322 635 234 635C177 635 130 609 99 576L42 495L64 475C90 514 133 568 201 568C274 568 318 519 318 435C318 349 255 267 193 193C144 135 87 78 32 23V0H405C417 45 427 89 440 131L412 140Z"></path></g></svg> rights left).</div>

Mathematical Problems in Engineering

tab6

Table 6

Table 6: Valuation of Swing Options under a Regime-Switching Mean-Reverting Model 