Access the full text.
Sign up today, get DeepDyve free for 14 days.
L. Rogers (2002)
Monte Carlo valuation of American optionsMathematical Finance, 12
M. Haugh, L. Kogan (2001)
Pricing American Options: A Duality ApproachDerivatives eJournal
Christophe Barrera-Esteve, Florent Bergeret, C. Dossal, E. Gobet, Asma Meziou, R. Munos, Damien Reboul-Salze (2006)
Numerical Methods for the Pricing of Swing Options: A Stochastic Control ApproachMethodology and Computing in Applied Probability, 8
R. Carmona, N. Touzi (2008)
OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONSMathematical Finance, 18
Nicolai Meinshausen, Ben Hambly (2004)
MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONSMathematical Finance, 14
Christian Bender (2011)
Dual pricing of multi-exercise options under volume constraintsFinance and Stochastics, 15
O. Bardou, Sandrine Bouthemy, G. Pagès (2007)
Optimal Quantization for the Pricing of Swing OptionsApplied Mathematical Finance, 16
P. Glasserman (2003)
Monte Carlo Methods in Financial Engineering
O. Bardou, Sandrine Bouthemy, G. Pagès (2007)
When are Swing options bang-bang and how to use itarXiv: Probability
Patrick Jaillet, Ehud Ronn, S. Tompaidis (2004)
Valuation of Commodity-Based Swing OptionsManag. Sci., 50
F. Longstaff, Eduardo Schwartz (2001)
Valuing American Options by Simulation: A Simple Least-Squares ApproachThe Finance
Leif Andersen, M. Broadie (2004)
Primal-Dual Simulation Algorithm for Pricing Multidimensional American OptionsManag. Sci., 50
FA Longstaff, ES Schwartz (2002)
Valuing american options by simulation: a least-square approachRev Fin Stud, 5
J. Keppo (2004)
Pricing of Electricity Swing Options, 11
(2009)
Multiple optimal stopping: Applications in option pricing, liquidation in bond markets and oil extraction. D.Phil
J. Tsitsiklis, Benjamin Roy (2001)
Regression methods for pricing complex American-style optionsIEEE transactions on neural networks, 12 4
D. Lamper, S. Howison (2004)
Monte Carlo valuation of American Options
This paper considers the pricing of multiple exercise options in discrete time. This type of option can be exercised up to a finite number of times over the lifetime of the contract. We allow multiple exercise of the option at each time point up to a constraint, a feature relevant for pricing swing options in energy markets. It is shown that, in the case where an option can be exercised an equal number of times at each time point, the problem can be reduced to the case of a single exercise possibility at each time. In the general case there is not a solution of this type. We develop a dual representation for the problem and give an algorithm for calculating both lower and upper bounds for the prices of such multiple exercise options.
Mathematical Methods of Operations Research – Springer Journals
Published: May 28, 2010
Read and print from thousands of top scholarly journals.
Already have an account? Log in
Bookmark this article. You can see your Bookmarks on your DeepDyve Library.
To save an article, log in first, or sign up for a DeepDyve account if you don’t already have one.
Copy and paste the desired citation format or use the link below to download a file formatted for EndNote
Access the full text.
Sign up today, get DeepDyve free for 14 days.
All DeepDyve websites use cookies to improve your online experience. They were placed on your computer when you launched this website. You can change your cookie settings through your browser.