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, April.
Citations
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Cited by:
- 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.
- 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.
- Alvaro Cartea & Thomas Williams, 2006. "UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts," Birkbeck Working Papers in Economics and Finance 0608, Birkbeck, Department of Economics, Mathematics & Statistics.
- Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance 0606, Birkbeck, Department of Economics, Mathematics & Statistics.
- 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.
- Alesii, Giuseppe, 2005. "VaR in real options analysis," Review of Financial Economics, Elsevier, vol. 14(3-4), pages 189-208.
- Thomas Deschatre & Joseph Mikael, 2020. "Deep combinatorial optimisation for optimal stopping time problems : application to swing options pricing," Papers 2001.11247, arXiv.org, revised Jan 2021.
- 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.
- 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;All these keywords.
JEL classification:
- G0 - Financial Economics - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2003-10-20 (Computational Economics)
- NEP-RMG-2003-10-20 (Risk Management)
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