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Dual pricing of multi-exercise options under volume constraints

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  • Christian Bender

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    File URL: http://hdl.handle.net/10.1007/s00780-010-0134-8
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 15 (2011)
    Issue (Month): 1 (January)
    Pages: 1-26

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    Handle: RePEc:spr:finsto:v:15:y:2011:i:1:p:1-26

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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: Duality; Option pricing; Monte Carlo simulation; Multi-exercise options; Swing options; 91B28; 60G40; 62L15; 65C05; G13; C61;

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    References

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    1. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
    2. Carriere, Jacques F., 1996. "Valuation of the early-exercise price for options using simulations and nonparametric regression," Insurance: Mathematics and Economics, Elsevier, vol. 19(1), pages 19-30, December.
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    Cited by:
    1. Nikolay Aleksandrov & Raphael Espinoza & Lajos Gyurko, 2012. "Optimal Oil Production and the World Supply of Oil," OxCarre Working Papers 092, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    2. John Schoenmakers, 2012. "A pure martingale dual for multiple stopping," Finance and Stochastics, Springer, vol. 16(2), pages 319-334, April.
    3. Helin Zhu & Fan Ye & Enlu Zhou, 2013. "Fast Estimation of True Bounds on Bermudan Option Prices under Jump-diffusion Processes," Papers 1305.4321, arXiv.org.
    4. S\"oren Christensen & Albrecht Irle & Stephan J\"urgens, 2012. "Optimal multiple stopping with random waiting times," Papers 1205.1966, arXiv.org.
    5. Christian Bender & Nikolai Dokuchaev, 2013. "A First-Order BSPDE for Swing Option Pricing," Papers 1305.3988, arXiv.org.
    6. Lajos Gergely Gyurko & Ben Hambly & Jan Hendrik Witte, 2011. "Monte Carlo methods via a dual approach for some discrete time stochastic control problems," Papers 1112.4351, arXiv.org.

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