Forest of stochastic meshes: a new method for valuing high-dimensional swing options

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

zbMATH Keywords

dynamic programmingMonte Carlo simulationswing optionsforest of treesmultiple state variablesstochastic mesh

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Forest of stochastic meshes: a new method for valuing high-dimensional swing options ⋮ Swing options in commodity markets: a multidimensional Lévy diffusion model ⋮ Valuation of swing options under a regime-switching mean-reverting model ⋮ A new deep neural network algorithm for multiple stopping with applications in options pricing

Cites Work

• Unnamed Item
• Unnamed Item
• Dual pricing of multi-exercise options under volume constraints
• Forest of stochastic meshes: a new method for valuing high-dimensional swing options
• Assessing the least squares Monte-Carlo approach to American option valuation
• Variational inequalities and the pricing of American options
• Numerical methods for the pricing of swing options: a stochastic control approach
• A dual approach to multiple exercise option problems under constraints
• Valuation of electricity swing options by multistage stochastic programming
• Electricity swing options: behavioral models and pricing
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Pricing American-style securities using simulation
• An analysis of a least squares regression method for American option pricing
• A continuous time model to price commodity-based swing options
• Valuation of Commodity-Based Swing Options
• Pricing of Swing Options in a Mean Reverting Model with Jumps
• Pricing American Options: A Duality Approach
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• THE SWING OPTION ON THE STOCK MARKET
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS