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Monte Carlo Methods For The Valuation Of Multiple‐Exercise Options

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Cited by:

  1. John Ery & Loris Michel, 2021. "Solving optimal stopping problems with Deep Q-Learning," Papers 2101.09682, arXiv.org.
  2. Dong, Wenfeng & Kang, Boda, 2019. "Analysis of a multiple year gas sales agreement with make-up, carry-forward and indexation," Energy Economics, Elsevier, vol. 79(C), pages 76-96.
  3. M’hamed Gaïgi & Stéphane Goutte & Idris Kharroubi & Thomas Lim, 2021. "Optimal risk management problem of natural resources: application to oil drilling," Annals of Operations Research, Springer, vol. 297(1), pages 147-166, February.
  4. Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015. "Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Levy Models," Papers 1505.07313, arXiv.org.
  5. Andrea Klimešová & Tomáš Václavík, 2016. "Gas Swing Options: Introduction and Pricing using Monte Carlo Methods," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2016(1), pages 15-32.
  6. Christian Bender, 2011. "Dual pricing of multi-exercise options under volume constraints," Finance and Stochastics, Springer, vol. 15(1), pages 1-26, January.
  7. 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.
  8. Cartea, Álvaro & Williams, Thomas, 2008. "UK gas markets: The market price of risk and applications to multiple interruptible supply contracts," Energy Economics, Elsevier, vol. 30(3), pages 829-846, May.
  9. Christian Bender & Nikolai Dokuchaev, 2013. "A First-Order BSPDE for Swing Option Pricing," Papers 1305.3988, arXiv.org.
  10. Tiziano De Angelis & Yerkin Kitapbayev, 2014. "On the optimal exercise boundaries of swing put options," Papers 1407.6860, arXiv.org, revised Jan 2017.
  11. Tim Leung & Kazutoshi Yamazaki & Hongzhong Zhang, 2015. "An Analytic Recursive Method For Optimal Multiple Stopping: Canadization And Phase-Type Fitting," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(05), pages 1-31.
  12. Dahlgren, Eric & Leung, Tim, 2015. "An optimal multiple stopping approach to infrastructure investment decisions," Journal of Economic Dynamics and Control, Elsevier, vol. 53(C), pages 251-267.
  13. Soren Christensen & Albrecht Irle & Stephan Jurgens, 2012. "Optimal multiple stopping with random waiting times," Papers 1205.1966, arXiv.org.
  14. Aintablian, Sebouh & Khoury, Wissam El, 2017. "A simulation on the presence of competing bidders in mergers and acquisitions," Finance Research Letters, Elsevier, vol. 22(C), pages 233-243.
  15. R. Mark Reesor & T. James Marshall, 2020. "Forest of Stochastic Trees: A Method for Valuing Multiple Exercise Options," JRFM, MDPI, vol. 13(5), pages 1-31, May.
  16. Ruimeng Hu, 2019. "Deep Learning for Ranking Response Surfaces with Applications to Optimal Stopping Problems," Papers 1901.03478, arXiv.org, revised Mar 2020.
  17. Tiziano De Angelis & Yerkin Kitapbayev, 2018. "On the Optimal Exercise Boundaries of Swing Put Options," Mathematics of Operations Research, INFORMS, vol. 43(1), pages 252-274, February.
  18. Denis Belomestny & Grigori N. Milstein, 2006. "Monte Carlo Evaluation Of American Options Using Consumption Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 455-481.
  19. Méndez-Suárez, Mariano & Crespo-Tejero, Natividad, 2021. "Why do banks retain unprofitable customers? A customer lifetime value real options approach," Journal of Business Research, Elsevier, vol. 122(C), pages 621-626.
  20. Alexander Boogert & Cyriel de Jong, 2007. "Gas Storage Valuation Using a Monte Carlo Method," Birkbeck Working Papers in Economics and Finance 0704, Birkbeck, Department of Economics, Mathematics & Statistics.
  21. Juri Hinz & Jeremy Yee, 2017. "An Algorithmic Approach to Optimal Asset Liquidation Problems," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(2), pages 109-129, June.
  22. N. Aleksandrov & B. Hambly, 2010. "A dual approach to multiple exercise option problems under constraints," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(3), pages 503-533, June.
  23. René Carmona & Savas Dayanik, 2008. "Optimal Multiple Stopping of Linear Diffusions," Mathematics of Operations Research, INFORMS, vol. 33(2), pages 446-460, May.
  24. Ilyes Abid & Stéphane Goutte & Farid Mkaouar & Khaled Guesmi, 2019. "Optimal strategy between extraction and storage of crude oil," Annals of Operations Research, Springer, vol. 281(1), pages 3-26, October.
  25. John Schoenmakers, 2012. "A pure martingale dual for multiple stopping," Finance and Stochastics, Springer, vol. 16(2), pages 319-334, April.
  26. Christian Bender & John Schoenmakers & Jianing Zhang, 2011. "Dual representations for general multiple stopping problems," Papers 1112.2638, arXiv.org.
  27. J. Lars Kirkby & Shi-Jie Deng, 2019. "Swing Option Pricing By Dynamic Programming With B-Spline Density Projection," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(08), pages 1-53, December.
  28. Secomandi, Nicola & Seppi, Duane J., 2014. "Real Options and Merchant Operations of Energy and Other Commodities," Foundations and Trends(R) in Technology, Information and Operations Management, now publishers, vol. 6(3-4), pages 161-331, July.
  29. Kovacevic, Raimund M. & Pflug, Georg Ch., 2014. "Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches," European Journal of Operational Research, Elsevier, vol. 237(2), pages 389-403.
  30. Nicolas Essis-Breton & Patrice Gaillardetz, 2020. "Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale," Papers 2002.11258, arXiv.org.
  31. Dai, Min & Kwok, Yue Kuen, 2008. "Optimal multiple stopping models of reload options and shout options," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2269-2290, July.
  32. Juri Hinz & Tanya Tarnopolskaya & Jeremy Yee, 2020. "Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations," Annals of Operations Research, Springer, vol. 286(1), pages 583-615, March.
  33. Jain, Shashi & Roelofs, Ferry & Oosterlee, Cornelis W., 2013. "Valuing modular nuclear power plants in finite time decision horizon," Energy Economics, Elsevier, vol. 36(C), pages 625-636.
  34. Kourouvakalis, Stylianos, 2008. "Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/116 edited by Geman, Hélyette.
  35. Pflug, Georg C. & Broussev, Nikola, 2009. "Electricity swing options: Behavioral models and pricing," European Journal of Operational Research, Elsevier, vol. 197(3), pages 1041-1050, September.
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