MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
From MaRDI portal
Publication:4673671
Recommendations
Cites work
- scientific article; zbMATH DE number 3852087 (Why is no real title available?)
- An analysis of a least squares regression method for American option pricing
- Interest rate models -- theory and practice
- Optimal stopping of Markov processes: Hilbert space theory, approximation algorithms, and an application to pricing high-dimensional financial derivatives
- Pricing American-style securities using simulation
- Valuing American options by simulation: a simple least-squares approach
Cited in
(62)- Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
- Relationship between least squares Monte Carlo and approximate linear programming
- Optimal risk management problem of natural resources: application to oil drilling
- Perfect and partial hedging for swing game options in discrete time
- Monte Carlo method for value of exotic options in the diffusion model with jumps
- Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
- A new deep neural network algorithm for multiple stopping with applications in options pricing
- Continuously controlled options: derivatives with added flexibility
- Optimal multiple stopping models of reload options and shout options
- Resolvent-techniques for multiple exercise problems
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems
- Deep learning for ranking response surfaces with applications to optimal stopping problems
- Monte Carlo valuation of American options
- Sequential design for ranking response surfaces
- Swing option pricing consistent with futures smiles
- An algorithmic approach to optimal asset liquidation problems
- Pricing of Swing Options in a Mean Reverting Model with Jumps
- Optimal multiple stopping with negative discount rate and random refraction times under Lévy models
- An optimal multiple stopping approach to infrastructure investment decisions
- Optimal multiple stopping problems under g-expectation
- Portfolios of American options under general preferences: results and counterexamples
- A pure martingale dual for multiple stopping
- Modelling spikes and pricing swing options in electricity markets
- Optimal multiple stopping problem under nonlinear expectation
- Optimal multiple stopping with random waiting times
- A first-order BSPDE for swing option pricing
- Optimal strategy between extraction and storage of crude oil
- A unified approach to multiple stopping and duality
- Dual pricing of multi-exercise options under volume constraints
- scientific article; zbMATH DE number 6039605 (Why is no real title available?)
- Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- A Monte Carlo approach to value exchange options using a single stochastic factor
- Optimal oil production and the world supply of oil
- Option pricing via Monte Carlo simulation. A weak derivative approach
- Optimal Quantization for the Pricing of Swing Options
- scientific article; zbMATH DE number 2134655 (Why is no real title available?)
- A dual approach to multiple exercise option problems under constraints
- Primal-dual linear Monte Carlo algorithm for multiple stopping -- an application to flexible caps
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
- When are swing options bang-bang?
- Monte-Carlo method for option pricing in sub-diffusive arithmetic models
- An iterative method for multiple stopping: convergence and stability
- Valuation of electricity swing options by multistage stochastic programming
- Continuity Properties of Optimal Multiple Stopping Value
- Electricity swing options: behavioral models and pricing
- Monte Carlo applied to exotic digital options
- A multilevel Monte Carlo method for the valuation of swing options
- Dual representations for general multiple stopping problems
- Pricing Asset Scheduling Flexibility using Optimal Switching
- Swing option pricing by dynamic programming with b-spline density projection
- Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products
- Algorithms for optimal control of stochastic switching systems
- Valuation of swing options under a regime-switching mean-reverting model
- Optimal redeeming strategy of stock loans with finite maturity
- MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING
- Optimal expansion timing decisions in multi-stage PPP projects involving dedicated asset and government subsidies
- On the optimal exercise boundaries of swing put options
- scientific article; zbMATH DE number 2232710 (Why is no real title available?)
- A practical view on valuation of multi-exercise American style options in gas and electricity markets
- An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
This page was built for publication: MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4673671)
