Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2002 with number 114.
Date of creation: 01 Jul 2002
Date of revision:
American; Real and Swing Options; Simulation; Dynamic Programming;
Other versions of this item:
- Alfredo Ibáñez, 2004. "Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 223-248.
- G0 - Financial Economics - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-10-20 (All new papers)
- NEP-CMP-2003-10-20 (Computational Economics)
- NEP-RMG-2003-10-20 (Risk Management)
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- Alesii, Giuseppe, 2005. "VaR in real options analysis," Review of Financial Economics, Elsevier, vol. 14(3-4), pages 189-208.
- Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance 0606, Birkbeck, Department of Economics, Mathematics & Statistics.
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