A dual approach to multiple exercise option problems under constraints
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References listed on IDEAS
- René Carmona & Nizar Touzi, 2008. "Optimal Multiple Stopping And Valuation Of Swing Options," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 239-268.
- Patrick Jaillet & Ehud I. Ronn & Stathis Tompaidis, 2004. "Valuation of Commodity-Based Swing Options," Management Science, INFORMS, vol. 50(7), pages 909-921, July.
- 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.
- L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- 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.
- Nikolay Aleksandrov & Raphael Espinoza & Lajos Gyurko, 2012. "Optimal Oil Production and the World Supply of Oil," OxCarre Working Papers 092, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
- Nikolay Aleksandrov & lajos Gyurko & Raphael A Espinoza, 2012. "Optimal Oil Production and the World Supply of Oil," IMF Working Papers 12/294, International Monetary Fund.
- Christian Bender, 2011. "Dual pricing of multi-exercise options under volume constraints," Finance and Stochastics, Springer, vol. 15(1), pages 1-26, January.
- Christian Bender & John Schoenmakers & Jianing Zhang, 2011. "Dual representations for general multiple stopping problems," Papers 1112.2638, arXiv.org.
More about this item
KeywordsMultiple optimal stopping; Dual approach; Multiple exercise options; Swing options; 60G40; 91B28; 90C39; 90C46;
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