Dual pricing of multi-exercise options under volume constraints (Q483695)
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scientific article; zbMATH DE number 6381301
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| English | Dual pricing of multi-exercise options under volume constraints |
scientific article; zbMATH DE number 6381301 |
Statements
Dual pricing of multi-exercise options under volume constraints (English)
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17 December 2014
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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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0.8819867372512817
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0.8815198540687561
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0.8249295353889465
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0.8116209506988525
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0.7988360524177551
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