We use probabilistic methods to characterise the optimal exercise region of a swing option with put payoff, n \ge  exercise rights and finite maturity . The underlying asset's dynamics is given by a geometric Brownian motion according to the Black & Scholes model. The optimal exercise region of each right (except the last) of the swing option that we consider is characterised in terms of two boundaries which are continuous functions of time and uniquely solve a system of coupled integral equations of Volterra-type. The swing option's price is then provided as the sum of a European part and an early exercise premium depending on the optimal exercise boundaries.
We use probabilistic methods to characterise the optimal exercise region of a swing option with put payoff, n \ge 2 exercise rights and finite maturity , when the underlying asset's dynamics is specified according to the Black & Scholes model. The optimal exercise region of each right (except the last) is described in terms of two boundaries which are continuous functions of time and uniquely solve a system of coupled integral equations of Volterra-type. The swing option's price is then obtained as the sum of a European part and an early exercise premium which depends on the optimal boundaries.
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