Dual pricing of multi-exercise options under volume constraints
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Volume (Year): 15 (2011)
Issue (Month): 1 (January)
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- repec:spr:compst:v:71:y:2010:i:3:p:503-533 is not listed on IDEAS
- 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.
- 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.
- 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.
- N. Aleksandrov & B. Hambly, 2010. "A dual approach to multiple exercise option problems under constraints," Mathematical Methods of Operations Research, Springer, vol. 71(3), pages 503-533, June.
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