标题： 当期权为敲击期权时，如何使用它 显示英文标题

标题： When are Swing options bang-bang and how to use it

摘要： 在本文中，我们研究了一类具有严格约束的摆动期权，以供供应协议的建模。我们表明，对于一个完全一般的收益过程，作为随机控制问题的解的溢价，作为合同全局约束的函数是凹的且分段线性的。对于生成整个溢价函数的约束集，建立了bang-bang最优控制的存在性。当收益过程由一个底层马尔可夫过程驱动时，我们提出了一种基于量化递归向后的方法来定价这些合约。建立了相对于全局约束一致的先验误差界。 显示英文摘要

摘要： In this paper we investigate a class of swing options with firm constraints in view of the modeling of supply agreements. We show, for a fully general payoff process, that the premium, solution to a stochastic control problem, is concave and piecewise affine as a function of the global constraints of the contract. The existence of bang-bang optimal controls is established for a set of constraints which generates by affinity the whole premium function. When the payoff process is driven by an underlying Markov process, we propose a quantization based recursive backward procedure to price these contracts. A priori error bounds are established, uniformly with respect to the global constraints.