Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Swing options in commodity markets: A multidimensional L\'evy diffusion
  model   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 L\'evy process. We set up a valuation
model in terms of a dynamic programming problem where the option can be
exercised continuously in time. Here, the number of swing rights is given by a
total volume constraint. We analyze some general properties of the model and
study the solution by analyzing the associated HJB-equation. Furthermore, we
discuss the issues caused by the multi-dimensionality of the commodity price
model. The results are illustrated numerically with three explicit examples.

16
The categories of this paper are: stat
7
The categories of this paper are: hep-th
34
The categories of this paper are: chem-ph
10
The categories of this paper are: q-bio
18
The categories of this paper are: econ
33
The categories of this paper are: plasm-ph
30
The categories of this paper are: q-alg
29
The categories of this paper are: funct-an
20
The categories of this paper are: acc-phys
0
The categories of this paper are: hep-ph
26
The categories of this paper are: bayes-an
27
The categories of this paper are: comp-gas
14
The categories of this paper are: math-ph
8
The categories of this paper are: hep-ex
37
The categories of this paper are: supr-con
12
The categories of this paper are: nucl-th