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摘要翻译：
天然气市场上的摇摆期权是美国式的期权，每天的数量实习是有限制的，每年的全球数量实习也是有限制的。期权持有者必须决定他每天消耗多少满足约束的数量，并试图使用策略以最大化其预期利润。收益偏好是天然气现货市场与由一些商品现货或未来价格的过去平均值组成的指数之间的价差。我们研究了动态套期保值合约的定价和有效性。
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英文标题：
《Hedging Swing contract on gas markets》
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作者：
Xavier Warin
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
Swing options on the gas market are american style option where daily quantities exercices are constrained and global quantities exerciced each year constrained too. The option holder has to decide each day how much he consumes of the quantities satisfying the constraints and tries to use a strategy in order to maximize its expected profit. The pay off fonction is a spread between the spot gas market and the value of an index composed of the past average of some commodities spot or future prices. We study the valorization and the effectiveness of the dynamic hedging of such a contract.
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PDF链接：
https://arxiv.org/pdf/1208.5303
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