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PRICING OF SWING OPTIONS IN A MEAN REVERTING MODEL WITH JUMPS MATS KJAER G¨ oteborg University Abstract. We investigate the pricing of swing options in a model where the
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Document Date: 2007-03-27 13:47:19
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PRICING OF SWING OPTIONS IN A MEAN REVERTING MODEL WITH JUMPS MATS KJAER G¨ oteborg University Abstract. We investigate the pricing of swing options in a model where the