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Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities

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Author Info
Alfredo Ibáñez

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Abstract

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Publisher Info
Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2002 with number 114.

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Date of creation: 01 Jul 2002
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Handle: RePEc:sce:scecf2:114

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Related research
Keywords: American; Real and Swing Options; Simulation; Dynamic Programming;

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G0 - Financial Economics - - General

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  1. Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance 0606, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
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