Dual pricing of multi-exercise options under volume constraints
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References listed on IDEAS
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More about this item
KeywordsDuality; Option pricing; Monte Carlo simulation; Multi-exercise options; Swing options; 91B28; 60G40; 62L15; 65C05; G13; C61;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
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