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Monte Carlo Methods For The Valuation Of Multiple-Exercise Options

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  • N. Meinshausen
  • B. M. Hambly

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  • N. Meinshausen & B. M. Hambly, 2004. "Monte Carlo Methods For The Valuation Of Multiple-Exercise Options," Mathematical Finance, Wiley Blackwell, vol. 14(4), pages 557-583.
  • Handle: RePEc:bla:mathfi:v:14:y:2004:i:4:p:557-583
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    1. repec:kap:apfinm:v:24:y:2017:i:2:d:10.1007_s10690-017-9226-1 is not listed on IDEAS
    2. repec:eee:finlet:v:22:y:2017:i:c:p:233-243 is not listed on IDEAS
    3. repec:wsi:ijtafx:v:18:y:2015:i:05:n:s0219024915500326 is not listed on IDEAS
    4. N. Aleksandrov & B. Hambly, 2010. "A dual approach to multiple exercise option problems under constraints," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(3), pages 503-533, June.
    5. Jain, Shashi & Roelofs, Ferry & Oosterlee, Cornelis W., 2013. "Valuing modular nuclear power plants in finite time decision horizon," Energy Economics, Elsevier, vol. 36(C), pages 625-636.
    6. repec:spr:compst:v:71:y:2010:i:3:p:503-533 is not listed on IDEAS
    7. Aleksandrov, Nikolay & Espinoza, Raphael & Gyurkó, Lajos, 2013. "Optimal oil production and the world supply of oil," Journal of Economic Dynamics and Control, Elsevier, vol. 37(7), pages 1248-1263.
    8. John Schoenmakers, 2012. "A pure martingale dual for multiple stopping," Finance and Stochastics, Springer, vol. 16(2), pages 319-334, April.
    9. Christian Bender & John Schoenmakers & Jianing Zhang, 2011. "Dual representations for general multiple stopping problems," Papers 1112.2638, arXiv.org.
    10. Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015. "Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models," Papers 1505.07313, arXiv.org.
    11. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
    12. Tomáš Václavík & Andrea Klimešová, 2016. "Gas Swing Options: Introduction and Pricing using Monte Carlo Methods," Acta Oeconomica Pragensia, University of Economics, Prague, vol. 2016(1), pages 15-32.
    13. Christian Bender, 2011. "Dual pricing of multi-exercise options under volume constraints," Finance and Stochastics, Springer, vol. 15(1), pages 1-26, January.
    14. Kovacevic, Raimund M. & Pflug, Georg Ch., 2014. "Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches," European Journal of Operational Research, Elsevier, vol. 237(2), pages 389-403.
    15. Cartea, Álvaro & Williams, Thomas, 2008. "UK gas markets: The market price of risk and applications to multiple interruptible supply contracts," Energy Economics, Elsevier, vol. 30(3), pages 829-846, May.
    16. Christian Bender & Nikolai Dokuchaev, 2013. "A First-Order BSPDE for Swing Option Pricing," Papers 1305.3988, arXiv.org.
    17. Dahlgren, Eric & Leung, Tim, 2015. "An optimal multiple stopping approach to infrastructure investment decisions," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 251-267.
    18. Tiziano De Angelis & Yerkin Kitapbayev, 2014. "On the optimal exercise boundaries of swing put options," Papers 1407.6860, arXiv.org, revised Jan 2017.
    19. Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015. "An Analytic Recursive Method For Optimal Multiple Stopping: Canadization And Phase-Type Fitting," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-31.
    20. Dai, Min & Kwok, Yue Kuen, 2008. "Optimal multiple stopping models of reload options and shout options," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2269-2290, July.
    21. repec:wsi:ijtafx:v:09:y:2006:i:04:n:s0219024906003652 is not listed on IDEAS
    22. Soren Christensen & Albrecht Irle & Stephan Jurgens, 2012. "Optimal multiple stopping with random waiting times," Papers 1205.1966, arXiv.org.
    23. Alexander Boogert & Cyriel de Jong, 2007. "Gas Storage Valuation Using a Monte Carlo Method," Birkbeck Working Papers in Economics and Finance 0704, Birkbeck, Department of Economics, Mathematics & Statistics.
    24. Pflug, Georg C. & Broussev, Nikola, 2009. "Electricity swing options: Behavioral models and pricing," European Journal of Operational Research, Elsevier, vol. 197(3), pages 1041-1050, September.

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