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

@@ 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 @@
+Normal rank