Forest of stochastic meshes: a new method for valuing high-dimensional swing options
DOI10.1016/J.ORL.2010.11.003zbMATH Open1208.91149OpenAlexW2013116283MaRDI QIDQ631202FDOQ631202
R. Mark Reesor, T. J. Marshall
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
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Cites Work
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- Title not available (Why is that?)
- An analysis of a least squares regression method for American option pricing
- Assessing the least squares Monte-Carlo approach to American option valuation
- Valuation of the early-exercise price for options using simulations and nonparametric regression
- Pricing American-style securities using simulation
- Pricing American Options: A Duality Approach
- Valuation of Commodity-Based Swing Options
- Numerical methods for the pricing of swing options: a stochastic control approach
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- Dual pricing of multi-exercise options under volume constraints
- A dual approach to multiple exercise option problems under constraints
- Valuation of electricity swing options by multistage stochastic programming
- Electricity swing options: behavioral models and pricing
- A continuous time model to price commodity-based swing options
- Pricing of Swing Options in a Mean Reverting Model with Jumps
- THE SWING OPTION ON THE STOCK MARKET
- Title not available (Why is that?)
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options
Cited In (6)
- A new deep neural network algorithm for multiple stopping with applications in options pricing
- Swing option pricing consistent with futures smiles
- Title not available (Why is that?)
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options
- Valuation of swing options under a regime-switching mean-reverting model
- Swing options in commodity markets: a multidimensional Lévy diffusion model
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