Swing Option Pricing by Optimal Exercise Boundary Estimation (Q2917444): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1007/978-3-642-25746-9_13 / rank | |||
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| Property / OpenAlex ID: W118738001 / rank | |||
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| Property / cites work: A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS / rank | |||
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| Property / cites work: On the Malliavin approach to Monte Carlo approximation of conditional expectations / rank | |||
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| Property / cites work: Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities / rank | |||
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| Property / cites work: Cube root asymptotics / rank | |||
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Latest revision as of 18:15, 5 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Swing Option Pricing by Optimal Exercise Boundary Estimation |
scientific article |
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Swing Option Pricing by Optimal Exercise Boundary Estimation (English)
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28 September 2012
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Monte Carlo
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optimal exercise boundary
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swing options
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