Narrow Results

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.

To achieve China’s goal of “carbon peak and carbon neutrality”, the energy transition and development are of vital importance and urgent, and there are still many major issues that need to be studied urgently. In this context, based on the existing literature, this article combs and reviews the latest developments in the application of structural equation modeling methods in the energy industry from the dimensions of energy safety production, energy consumption behavior, energy enterprise economy, and new energy development, and believes that Has broad application prospects in the future energy transition.