Forest of stochastic meshes: a new method for valuing high-dimensional swing options

DOI10.1016/J.ORL.2010.11.003MaRDI QIDQ631202zbMATH OpenOpenAlexFDO

Authors T. J. Marshall, R. Mark Reesor

Publication date 22 March 2011

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2010.11.003

zbMATH Keywords

dynamic programmingMonte Carlo simulationswing optionsforest of treesmultiple state variablesstochastic mesh

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60)

Recommendations

• scientific article; zbMATH DE number 2096574
• Swing Option Pricing by Optimal Exercise Boundary Estimation
• A multilevel Monte Carlo method for the valuation of swing options
• Pricing American options by simulation using a stochastic mesh with optimized weights
• Commodity and financial swing option pricing model and numerical analysis

Cites work

• scientific article; zbMATH DE number 663895 (Why is no real title available?)
• scientific article; zbMATH DE number 2096574 (Why is no real title available?)
• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• A continuous time model to price commodity-based swing options
• A dual approach to multiple exercise option problems under constraints
• An analysis of a least squares regression method for American option pricing
• Assessing the least squares Monte-Carlo approach to American option valuation
• Dual pricing of multi-exercise options under volume constraints
• Electricity swing options: behavioral models and pricing
• Forest of stochastic meshes: a new method for valuing high-dimensional swing options
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• Numerical methods for the pricing of swing options: a stochastic control approach
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• Pricing American Options: A Duality Approach
• Pricing American-style securities using simulation
• Pricing of Swing Options in a Mean Reverting Model with Jumps
• THE SWING OPTION ON THE STOCK MARKET
• Valuation of Commodity-Based Swing Options
• Valuation of electricity swing options by multistage stochastic programming
• Valuation of the early-exercise price for options using simulations and nonparametric regression
• Variational inequalities and the pricing of American options

Cited in

(7)

• A new deep neural network algorithm for multiple stopping with applications in options pricing
• Swing option pricing consistent with futures smiles
• scientific article; zbMATH DE number 2096574 (Why is no real title available?)
• Forest of stochastic meshes: a new method for valuing high-dimensional swing options
• A multilevel Monte Carlo method for the valuation of swing options
• Valuation of swing options under a regime-switching mean-reverting model
• Swing options in commodity markets: a multidimensional Lévy diffusion model

This page was built for publication: Forest of stochastic meshes: a new method for valuing high-dimensional swing options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q631202)