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Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities

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  • Alfredo Ibáñez

Abstract

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Suggested Citation

  • Alfredo Ibáñez, 2002. "Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities," Computing in Economics and Finance 2002 114, Society for Computational Economics.
  • Handle: RePEc:sce:scecf2:114
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    Cited by:

    1. Alesii, Giuseppe, 2005. "VaR in real options analysis," Review of Financial Economics, Elsevier, vol. 14(3-4), pages 189-208.
    2. Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance 0606, Birkbeck, Department of Economics, Mathematics & Statistics.
    3. Wang, Chuan-Ju & Kao, Ming-Yang, 2016. "Optimal search for parameters in Monte Carlo simulation for derivative pricing," European Journal of Operational Research, Elsevier, vol. 249(2), pages 683-690.

    More about this item

    Keywords

    American; Real and Swing Options; Simulation; Dynamic Programming;

    JEL classification:

    • G0 - Financial Economics - - General

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