We present the valuation of an operational swing option in the Black and Scholes market environment. We consider such a swing option with the load for a customer being a time-dependent deterministic function of a random parameter. This random parameter can have various interpretations. In the...

We present a model that allows for a relatively simple analytical valuation of a full requirements contract in terms of power forward prices and load in the case when power forward prices follow a geometric Brownian motion and load follows a geometric mean-reverting process. This model...