OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
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Publication:5459957
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Cites work
- scientific article; zbMATH DE number 1255542 (Why is no real title available?)
- scientific article; zbMATH DE number 862533 (Why is no real title available?)
- scientific article; zbMATH DE number 3373117 (Why is no real title available?)
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- An analysis of a least squares regression method for American option pricing
- Applications of Malliavin calculus to Monte-Carlo methods in finance. II
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
- Monte Carlo algorithms for optimal stopping and statistical learning
- Nonparametric statistics for stochastic processes. Estimation and prediction.
- On the Malliavin approach to Monte Carlo approximation of conditional expectations
- Optimal Sequential Procedures when More Than one Stop is Required
- 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
Cited in
(89)- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
- When are swing options bang-bang?
- Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing.
- Risk management in power markets: the hedging value of production flexibility
- A Longstaff and Schwartz approach to the early election problem
- Perfect and partial hedging for swing game options in discrete time
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options
- Dual pricing of multi-exercise options under volume constraints
- THE SWING OPTION ON THE STOCK MARKET
- Optimal multiple stopping with negative discount rate and random refraction times under Lévy models
- A class of recursive optimal stopping problems with applications to stock trading
- Optimal risk management problem of natural resources: application to oil drilling
- An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
- REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
- Contraction options and optimal multiple-stopping in spectrally negative Lévy models
- A general optimal multiple stopping problem with an application to swing options
- Risk-hedging in real estate markets
- Multiple stopping time POMDPs: structural results \& application in interactive advertising on social media
- On the pricing of perpetual American compound options
- An algorithmic approach to optimal asset liquidation problems
- Optimal multiple stopping problem under nonlinear expectation
- American step-up and step-down default swaps under Lévy models
- A pure martingale dual for multiple stopping
- An iterative method for multiple stopping: convergence and stability
- Optimal multiple stopping time problem
- The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
- Pricing and risk of swing contracts in natural gas markets
- Risk sensitive optimal stopping
- Hedging of swing game options in continuous time
- Continuously controlled options: derivatives with added flexibility
- Optimal strategy between extraction and storage of crude oil
- Risk-sensitive optimal stopping with unbounded terminal cost function
- Dynkin's games and Israeli options
- On the problem of optimal stopping for the composite Russian option
- Optimal redeeming strategy of stock loans with finite maturity
- A first-order BSPDE for swing option pricing
- Infinite horizon stopping problems with (nearly) total reward criteria
- Efficient pricing of swing options in Lévy-driven models
- An exactly solvable multiple stochastic optimal stopping problem
- An optimal multiple stopping approach to infrastructure investment decisions
- Filling the gap between American and Russian options: adjustable regret
- Algorithms for optimal control of stochastic switching systems
- Optimal oil production and the world supply of oil
- Generalization on optimal multiple stopping with application to swing options with random exercise rights number
- Optimal reinsurance strategy under fixed cost and delay
- Valuation and pricing of electricity delivery contracts: the producer's view
- A dual approach to multiple exercise option problems under constraints
- Modelling spikes and pricing swing options in electricity markets
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems
- Optimal multiple stopping models of reload options and shout options
- Optimal Quantization for the Pricing of Swing Options
- Optimal multiple stopping problems under \(g\)-expectation
- Swing options valuation: a BSDE with constrained jumps approach
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
- On the solution of general impulse control problems using superharmonic functions
- Utility indifference pricing and hedging for structured contracts in energy markets
- Valuation of electricity swing options by multistage stochastic programming
- An optimal stopping policy for car rental businesses with purchasing customers
- OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
- On the Structure of a Swing Contract's Optimal Value and Optimal Strategy
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
- Electricity swing options: behavioral models and pricing
- 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
- Optimal mean-reverting spread trading: nonlinear integral equation approach
- Swing options in commodity markets: a multidimensional Lévy diffusion model
- An exit contract optimization problem
- Sensitivity analysis of energy contracts by stochastic programming techniques
- Optimal exercise strategies for operational risk insurance via multiple stopping times
- A Direct Approach to the Solution of Optimal Multiple-Stopping Problems
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- Numerical methods for an optimal multiple stopping problem
- Swing option pricing consistent with futures smiles
- An efficient and provable sequential quadratic programming method for American and swing option pricing
- Continuity Properties of Optimal Multiple Stopping Value
- Optimal double stopping problems for maxima and minima of geometric Brownian motions
- Valuation of swing options under a regime-switching mean-reverting model
- On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models
- Pricing renewable identification numbers under uncertainty
- Hedging swing options
- Resolvent-techniques for multiple exercise problems
- Optimal hedging of a perpetual American put with a single trade
- Quickest search over Brownian channels
- Swing option pricing by dynamic programming with b-spline density projection
- Pricing corporate debt with finite maturity and chapter 11 proceedings
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
- Distributed energy resources flexibility as volumetric options on electricity
- Perpetual American double lookback options on drawdowns and drawups with floating strikes
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