We study valuation of swing options on commodity markets when the commodity prices are driven by multiple factors. The factors are modeled as diffusion processes driven by a multidimensional Lévy process. We set up a ...

This is the pre-peer reviewed version of the following article: Benth, Fred Espen; Lempa, Jukka; Nilssen, Trygve Kastberg, On the optimal exercise of swing options in electricity markets, Journal of Energy Markets. 2012, ...