Dual pricing of multi-exercise options under volume constraints (Q483695)

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Dual pricing of multi-exercise options under volume constraints
scientific article

    Statements

    title
    Dual pricing of multi-exercise options under volume constraints (English)
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    author
    Christian Bender
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    publication date
    17 December 2014
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    zbMATH Keywords
    duality
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    option pricing
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    Monte Carlo simulation
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    multi-exercise options
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    swing options
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    60G40
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    91G60
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    65C05
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    zbMATH DE Number
    6381301
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    OpenAlex ID
    W1972337987
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