Swing Option Pricing by Optimal Exercise Boundary Estimation

DOI10.1007/978-3-642-25746-9_13zbMath1247.91202OpenAlexW118738001MaRDI QIDQ2917444

François Turboult, Yassine Youlal

Publication date: 28 September 2012

Published in: Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_13

zbMATH Keywords

Monte Carlooptimal exercise boundaryswing options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

Cites Work

• Cube root asymptotics
• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS

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