Swing Option Pricing by Optimal Exercise Boundary Estimation

DOI10.1007/978-3-642-25746-9_13MaRDI QIDQ2917444zbMATH OpenOpenAlexFDO

Authors François Turboult, Yassine Youlal

Publication date 28 September 2012

Published in Springer Proceedings in Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-25746-9_13

zbMATH Keywords

Monte Carlooptimal exercise boundaryswing options

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Actuarial science and mathematical finance (91G99)

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Cites work

• A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS
• Cube root asymptotics
• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities

Cited in

(8)

• Optimal Quantization for the Pricing of Swing Options
• THE SWING OPTION ON THE STOCK MARKET
• scientific article; zbMATH DE number 2096574 (Why is no real title available?)
• Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
• A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS
• Forest of stochastic meshes: a new method for valuing high-dimensional swing options
• A multilevel Monte Carlo method for the valuation of swing options
• A dual approach to multiple exercise option problems under constraints

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