Dual pricing of multi-exercise options under volume constraints (Q483695): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 60G40 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+C05
@@ Property / Mathematics Subject Classification ID: 65C05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6381301
@@ Property / zbMATH DE Number: 6381301 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+duality
@@ Property / zbMATH Keywords: duality / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+option pricing
@@ Property / zbMATH Keywords: option pricing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Monte Carlo simulation
@@ Property / zbMATH Keywords: Monte Carlo simulation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+multi-exercise options
@@ Property / zbMATH Keywords: multi-exercise options / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+swing options
@@ Property / zbMATH Keywords: swing options / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s00780-010-0134-8
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@@ Property / OpenAlex ID @@
+W1972337987
@@ Property / OpenAlex ID: W1972337987 / rank @@
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@@ Property / cites work @@
+A dual approach to multiple exercise option problems under constraints
+Normal rank
@@ Property / cites work @@
+WHEN ARE SWING OPTIONS BANG-BANG?
@@ Property / cites work: WHEN ARE SWING OPTIONS BANG-BANG? / rank @@
+Normal rank
@@ Property / cites work @@
+TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
+Normal rank
@@ Property / cites work @@
+An iterative method for multiple stopping: convergence and stability
+Normal rank
@@ Property / cites work @@
+Q3521355
@@ Property / cites work: Q3521355 / rank @@
+Normal rank
@@ Property / cites work @@
+A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
+Normal rank
@@ Property / cites work @@
+On the Malliavin approach to Monte Carlo approximation of conditional expectations
+Normal rank
@@ Property / cites work @@
+Optimal Multiple Stopping of Linear Diffusions
@@ Property / cites work: Optimal Multiple Stopping of Linear Diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
+Normal rank
@@ Property / cites work @@
+Valuation of the early-exercise price for options using simulations and nonparametric regression
+Normal rank
@@ Property / cites work @@
+Q4895161
@@ Property / cites work: Q4895161 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Sequential Procedures when More Than one Stop is Required
+Normal rank
@@ Property / cites work @@
+Modelling spikes and pricing swing options in electricity markets
+Normal rank
@@ Property / cites work @@
+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
+Normal rank
@@ Property / cites work @@
+Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
+Normal rank
@@ Property / cites work @@
+Valuation of Commodity-Based Swing Options
@@ Property / cites work: Valuation of Commodity-Based Swing Options / rank @@
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
+Normal rank
@@ Property / cites work @@
+Electricity prices and power derivatives: evidence from the Nordic Power Exchange
+Normal rank
@@ Property / cites work @@
+MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
+Normal rank
@@ Property / cites work @@
+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:483695