I'm working in the commodity market and I've to price Swing Options with MATLAB, preferably with finite element.
Has anyone already priced these kind of derivatives?
I'm thinking about using the structure for the pricing of an American Option and then do it iteratively.
More details about Swing Options are included in this paper.
Note that swing options are really useful in commodity markets because you can exercise them more than once (like American options); obviously there are some constraints that limit you.
I've already tried to price them with Least Squares Monte Carlo method (using the algorithm presented by Longstaff and Schwartz).
Now I want to price them with finite element but I'm having some difficulties. In particular I'm pricing them without jumps, so I'm using an EDP discretized (and not a PIDE).
I'd like to know if anyone already implemented such a thing?