Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
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Other versions of this item:
- Alfredo Ibáñez, 2004. "Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities," Mathematical Finance, Wiley Blackwell, vol. 14(2), pages 223-248.
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- Alesii, Giuseppe, 2005. "VaR in real options analysis," Review of Financial Economics, Elsevier, vol. 14(3-4), pages 189-208.
- Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance 0606, Birkbeck, Department of Economics, Mathematics & Statistics.
- 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.
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KeywordsAmerican; Real and Swing Options; Simulation; Dynamic Programming;
- G0 - Financial Economics - - General
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