Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
From MaRDI portal
Publication:4827312
DOI10.1111/j.0960-1627.2004.00190.xzbMath1090.91051OpenAlexW3125920562MaRDI QIDQ4827312
Publication date: 16 November 2004
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.0960-1627.2004.00190.x
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (16)
Optimal multiple stopping models of reload options and shout options ⋮ Optimal search for parameters in Monte Carlo simulation for derivative pricing ⋮ Swing Option Pricing by Optimal Exercise Boundary Estimation ⋮ Wireless network capacity management: a real options approach ⋮ Dual pricing of multi-exercise options under volume constraints ⋮ An iterative method for multiple stopping: convergence and stability ⋮ A continuous time model to price commodity-based swing options ⋮ Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches ⋮ Pricing of Swing Options in a Mean Reverting Model with Jumps ⋮ OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS ⋮ SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION ⋮ On the Optimal Exercise Boundaries of Swing Put Options ⋮ Valuation of electricity swing options by multistage stochastic programming ⋮ Modelling spikes and pricing swing options in electricity markets ⋮ Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing. ⋮ PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES
Cites Work
- Unnamed Item
- Unnamed Item
- Monte Carlo methods for security pricing
- Pricing American-style securities using simulation
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- Valuation of Commodity-Based Swing Options
- Valuing American Options by Simulation: A Simple Least-Squares Approach
This page was built for publication: Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
