Dual pricing of multi-exercise options under volume constraints
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Publication:483695
DOI10.1007/S00780-010-0134-8zbMATH Open1303.91167OpenAlexW1972337987MaRDI QIDQ483695FDOQ483695
Authors: 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
Recommendations
Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
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Cited In (26)
- Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
- Continuously controlled options: derivatives with added flexibility
- Resolvent-techniques for multiple exercise problems
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems
- Swing option pricing consistent with futures smiles
- 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
- Portfolios of American options under general preferences: results and counterexamples
- A pure martingale dual for multiple stopping
- A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS
- Optimal multiple stopping with random waiting times
- A first-order BSPDE for swing option pricing
- First order BSPDEs in higher dimension for optimal control problems
- A unified approach to multiple stopping and duality
- Optimal oil production and the world supply of oil
- Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
- 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
- Dual representations for general multiple stopping 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
- 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
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