Dual pricing of multi-exercise options under volume constraints
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Cites work
- scientific article; zbMATH DE number 934464 (Why is no real title available?)
- A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
- A dual approach to multiple exercise option problems under constraints
- An iterative method for multiple stopping: convergence and stability
- Electricity prices and power derivatives: evidence from the Nordic Power Exchange
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- Modelling spikes and pricing swing options in electricity markets
- Monte Carlo valuation of American options
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- On the Malliavin approach to Monte Carlo approximation of conditional expectations
- Optimal Sequential Procedures when More Than one Stop is Required
- Optimal multiple stopping of linear diffusions
- Pricing American Options: A Duality Approach
- Stochastic modeling of electricity and related markets.
- TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
- Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
- Valuation of Commodity-Based Swing Options
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Valuing American options by simulation: a simple least-squares approach
- When are swing options bang-bang?
Cited in
(26)- Primal-dual linear Monte Carlo algorithm for multiple stopping -- an application to flexible caps
- First order BSPDEs in higher dimension for optimal control problems
- Dual representations for general multiple stopping problems
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options
- 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
- A general optimal multiple stopping problem with an application to swing options
- An algorithmic approach to optimal asset liquidation problems
- A pure martingale dual for multiple stopping
- Swing option pricing consistent with futures smiles
- Continuously controlled options: derivatives with added flexibility
- A first-order BSPDE for swing option pricing
- Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
- Valuation of swing options under a regime-switching mean-reverting model
- An optimal multiple stopping approach to infrastructure investment decisions
- A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS
- Optimal oil production and the world supply of oil
- Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
- A dual approach to multiple exercise option problems under constraints
- Resolvent-techniques for multiple exercise problems
- 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
- A unified approach to multiple stopping and duality
- On the optimal exercise boundaries of swing put options
- Optimal multiple stopping with random waiting times
- Portfolios of American options under general preferences: results and counterexamples
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