A dual approach to multiple exercise option problems under constraints
From MaRDI portal
Publication:992045
DOI10.1007/s00186-010-0310-9zbMath1200.60034MaRDI QIDQ992045
Publication date: 8 September 2010
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-010-0310-9
90C46: Optimality conditions and duality in mathematical programming
90C39: Dynamic programming
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
Related Items
A unified approach to multiple stopping and duality, Forest of stochastic meshes: a new method for valuing high-dimensional swing options, A pure martingale dual for multiple stopping
Cites Work
- Unnamed Item
- Numerical methods for the pricing of swing options: a stochastic control approach
- WHEN ARE SWING OPTIONS BANG-BANG?
- Valuation of Commodity-Based Swing Options
- Optimal Quantization for the Pricing of Swing Options
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- Monte Carlo valuation of American options
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS