Wavelet Collocation Methods for Viscosity Solutions to Swing Options in Natural Gas Storage

作     者：LI Hua WARE Antony GUO Li 

作者机构：School of Mathematics and Statistics Zhengzhou University Zhengzhou 450001 China. Department of Mathematics and Statistics University of Calgary 2500 University Drive NW Calgary AB Canada T2N1N4. 

出 版 物：《Journal of Partial Differential Equations》 (偏微分方程（英文版）)

年 卷 期：2014年第27卷第3期

页      面：229-244页

学科分类：07[理学] 070104[理学-应用数学] 0701[理学-数学] 

基　　金：Foundation Project of Henan Science and Technology Department [112300410064  122300413202] 

主　　题：Swing option viscosity solution wavelet collocation. 

摘      要：This paper presents the wavelet collocation methods for the numerical ap- proximation of swing options for natural gas storage in a mean reverting market. The model is characterized by the Hamilton-Jacobi-Bellman （HJB） equations which only have the viscosity solution due to the irregularity of the swing option. The differential operator is formulated exactly and efficiently in the second generation interpolating wavelet setting. The convergence and stability of the numerical scheme are studied in the framework of viscosity solution theory. Numerical experiments demonstrate the accuracy and computational efficiency of the methods.