Dual pricing of multi-exercise options under volume constraints
type: Item
instance of: scholarly article
title: Dual pricing of multi-exercise options under volume constraints
zbMATH Open document ID: 1303.91167
author: Christian Bender
published in: Finance and Stochastics
publication date: 2014-12-17T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 6381301
zbMATH Keywords: duality
zbMATH Keywords: option pricing
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: multi-exercise options
zbMATH Keywords: swing options
MaRDI profile type: Publication
full work available at URL: s00780-010-0134-8
OpenAlex ID: W1972337987
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DOI: 10.1007/S00780-010-0134-8
description: scientific article; zbMATH DE number 6381301