A dual approach to multiple exercise option problems under constraints

DOI10.1007/S00186-010-0310-9MaRDI QIDQ992045zbMATH OpenOpenAlexFDO

Authors J. Martínez

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

zbMATH Keywords

dual approachswing optionsmultiple optimal stoppingmultiple exercise options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Optimality conditions and duality in mathematical programming (90C46) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• Monte Carlo valuation of American options
• Numerical methods for the pricing of swing options: a stochastic control approach
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• Optimal Quantization for the Pricing of Swing Options
• Valuation of Commodity-Based Swing Options
• When are swing options bang-bang?

Cited in

(16)

• Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units
• 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
• A pure martingale dual for multiple stopping
• A unified approach to multiple stopping and duality
• Dual pricing of multi-exercise options under volume constraints
• Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
• Optimal oil production and the world supply of oil
• Forest of stochastic meshes: a new method for valuing high-dimensional swing options
• A Direct Approach to the Solution of Optimal Multiple-Stopping Problems
• Dual representations for general multiple stopping problems
• Valuation of swing options under a regime-switching mean-reverting model
• On the optimal exercise boundaries of swing put options
• A review of the operations literature on real options in energy
• A practical view on valuation of multi-exercise American style options in gas and electricity markets

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