Dual pricing of multi-exercise options under volume constraints

DOI10.1007/s00780-010-0134-8zbMath1303.91167OpenAlexW1972337987MaRDI QIDQ483695

Christian Bender

Publication date: 17 December 2014

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0134-8

zbMATH Keywords

option pricingdualityMonte Carlo simulationswing optionsmulti-exercise options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (24)

A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS ⋮ An algorithmic approach to optimal asset liquidation problems ⋮ A General Optimal Multiple Stopping Problem with an Application to Swing Options ⋮ An optimal multiple stopping approach to infrastructure investment decisions ⋮ Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models ⋮ AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ First Order BSPDEs in Higher Dimension for Optimal Control Problems ⋮ Forest of stochastic meshes: a new method for valuing high-dimensional swing options ⋮ A unified approach to multiple stopping and duality ⋮ Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes ⋮ Primal–dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps ⋮ Optimal oil production and the world supply of oil ⋮ CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY ⋮ A pure martingale dual for multiple stopping ⋮ A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING ⋮ Monte Carlo methods via a dual approach for some discrete time stochastic control problems ⋮ SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION ⋮ Valuation of swing options under a regime-switching mean-reverting model ⋮ On the Optimal Exercise Boundaries of Swing Put Options ⋮ Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units ⋮ DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS ⋮ Optimal Multiple Stopping with Random Waiting Times ⋮ Resolvent-techniques for multiple exercise problems ⋮ PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES

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