MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
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Publication:4673671
DOI10.1111/J.0960-1627.2004.00205.XzbMATH Open1169.91372OpenAlexW3125436659MaRDI QIDQ4673671FDOQ4673671
Authors: Nicolai Meinshausen, Ben M. Hambly 
Publication date: 9 May 2005
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://ora.ox.ac.uk/objects/uuid:4dbf42a1-a5fa-4152-a901-ab0dd26acdef
Recommendations
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Martingales with discrete parameter (60G42)
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Cited In (62)
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- Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
- Relationship between least squares Monte Carlo and approximate linear programming
- Perfect and partial hedging for swing game options in discrete time
- Optimal risk management problem of natural resources: application to oil drilling
- 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
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- Deep learning for ranking response surfaces with applications to optimal stopping problems
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- Monte Carlo methods via a dual approach for some discrete time stochastic control problems
- Optimal multiple stopping models of reload options and shout options
- Monte Carlo valuation of American options
- Sequential design for ranking response surfaces
- 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 algorithmic approach to optimal asset liquidation problems
- 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
- Optimal multiple stopping problem under nonlinear expectation
- A pure martingale dual for multiple stopping
- Modelling spikes and pricing swing options in electricity markets
- Optimal multiple stopping with random waiting times
- A first-order BSPDE for swing option pricing
- Optimal strategy between extraction and storage of crude oil
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- Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
- A unified approach to multiple stopping and duality
- Dual pricing of multi-exercise options under volume constraints
- 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
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- A dual approach to multiple exercise option problems under constraints
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- Monte Carlo applied to exotic digital options
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- Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products
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- MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING
- Optimal redeeming strategy of stock loans with finite maturity
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- Optimal expansion timing decisions in multi-stage PPP projects involving dedicated asset and government subsidies
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- 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
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