Forest of stochastic meshes: a new method for valuing high-dimensional swing options
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Publication:631202
DOI10.1016/j.orl.2010.11.003zbMath1208.91149OpenAlexW2013116283MaRDI QIDQ631202
R. Mark Reesor, T. J. Marshall
Publication date: 22 March 2011
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2010.11.003
dynamic programmingMonte Carlo simulationswing optionsforest of treesmultiple state variablesstochastic mesh
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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