Pricing On A Kind Of Swing Options

With the wide application of financial derivatives in financial markets,the issue of option pricing has attracted more and more attention.Due to the limited storability of energy,the energy market needs the financial derivatives which allow delivery more flexible.Swing options are the most popular options in the energy market.This paper studies the pricing on a kind of swing options.In swing option contract,the owner of the options can buy the subject matter for a fixed price at any time before the maturity date of the swing option,the total trading volume and the each trading volume are restricted.The existing literature have studied the optimal control problem of the swing option pricing.the article [5] [6] is control the each trading volume in a fixed area.However,the trading volume changes with the time in real life.So each trading volume will be controlled in an area that changes with time in this article.Then this is more closer to the actual situation of the swing option trading.After modifying the parameters,the integral and other parts in the original article become more complicated.This paper uses some methods to solve that problems.In the original article,there are errors int the part proof of the important theorem.The important result of this article is that we have proved the value process of the swingoption is the classical solution of backward stochastic partial differential equation and have got the differential inclusion of the optimal control.