IDEAS home Printed from https://ideas.repec.org/r/cup/jfinqa/v39y2004i02p253-275_00.html
   My bibliography  Save this item

Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Oliver Musshoff & Norbert Hirschauer, 2008. "Investment planning under uncertainty and flexibility: the case of a purchasable sales contract ," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 52(1), pages 17-36, March.
  2. Zhongkai Liu & Tao Pang, 2016. "An efficient grid lattice algorithm for pricing American-style options," International Journal of Financial Markets and Derivatives, Inderscience Enterprises Ltd, vol. 5(1), pages 36-55.
  3. D. Andricopoulos, Ari & Widdicks, Martin & Newton, David P. & Duck, Peter W., 2007. "Extending quadrature methods to value multi-asset and complex path dependent options," Journal of Financial Economics, Elsevier, vol. 83(2), pages 471-499, February.
  4. 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.
  5. Pascal Létourneau & Lars Stentoft, 2019. "Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method," JRFM, MDPI, vol. 12(4), pages 1-21, December.
  6. Stanislav Petrasek & John Perez-Garcia & B. Bare, 2015. "Valuing forestlands with stochastic timber and carbon prices," Annals of Operations Research, Springer, vol. 232(1), pages 217-234, September.
  7. 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.
  8. 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.
  9. Marcelo G. Figueroa, 2006. "Pricing Multiple Interruptible-Swing Contracts," Birkbeck Working Papers in Economics and Finance 0606, Birkbeck, Department of Economics, Mathematics & Statistics.
  10. Giuseppe Alesii, 2005. "VaR in real options analysis," Review of Financial Economics, John Wiley & Sons, vol. 14(3-4), pages 189-208.
  11. Hendrik Kohrs & Hermann Mühlichen & Benjamin R. Auer & Frank Schuhmacher, 2019. "Pricing and risk of swing contracts in natural gas markets," Review of Derivatives Research, Springer, vol. 22(1), pages 77-167, April.
  12. Christian Bayer & Ra'ul Tempone & Soren Wolfers, 2018. "Pricing American Options by Exercise Rate Optimization," Papers 1809.07300, arXiv.org, revised Aug 2019.
  13. Len Patrick Dominic M. Garces & Gerald H. L. Cheang, 2021. "A numerical approach to pricing exchange options under stochastic volatility and jump-diffusion dynamics," Quantitative Finance, Taylor & Francis Journals, vol. 21(12), pages 2025-2054, December.
  14. Chockalingam, Arun & Muthuraman, Kumar, 2015. "An approximate moving boundary method for American option pricing," European Journal of Operational Research, Elsevier, vol. 240(2), pages 431-438.
  15. Jin, Xing & Li, Xun & Tan, Hwee Huat & Wu, Zhenyu, 2013. "A computationally efficient state-space partitioning approach to pricing high-dimensional American options via dimension reduction," European Journal of Operational Research, Elsevier, vol. 231(2), pages 362-370.
  16. Calypso Herrera & Louis Paulot, 2014. "Parallel American Monte Carlo," Papers 1404.1180, arXiv.org.
  17. Manley, Bruce & Niquidet, Kurt, 2017. "How does real option value compare with Faustmann value when log prices follow fractional Brownian motion?," Forest Policy and Economics, Elsevier, vol. 85(P1), pages 76-84.
  18. Yu, Zhihan & Ning, Zhuo & Chang, Wei-Yew & Chang, Sun Joseph & Yang, Hongqiang, 2023. "Optimal harvest decisions for the management of carbon sequestration forests under price uncertainty and risk preferences," Forest Policy and Economics, Elsevier, vol. 151(C).
  19. Dan Andrei Iancu & Nikolaos Trichakis & Do Young Yoon, 2021. "Monitoring with Limited Information," Management Science, INFORMS, vol. 67(7), pages 4233-4251, July.
  20. Tubetov, Dulat & Musshoff, Oliver & Kellner, Ulla, 2012. "Investments in Kazakhstani Dairy Farming: A Comparison of Classical Investment Theory and the Real Options Approach," Quarterly Journal of International Agriculture, Humboldt-Universitaat zu Berlin, vol. 51(3), pages 1-28, August.
  21. 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.
  22. Alesii, Giuseppe, 2005. "VaR in real options analysis," Review of Financial Economics, Elsevier, vol. 14(3-4), pages 189-208.
  23. Luiz E. Brandão & James S. Dyer & Warren J. Hahn, 2005. "Response to Comments on Brandão et al. (2005)," Decision Analysis, INFORMS, vol. 2(2), pages 103-109, June.
  24. Carl Chiarella & Jonathan Ziveyi, 2014. "Pricing American options written on two underlying assets," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 409-426, March.
  25. 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.
  26. D'Amico, Guglielmo & Singh, Shakti & Selvamuthu, Dharmaraja, 2024. "Optimal investment-disinvestment choices in health-dependent variable annuity," Insurance: Mathematics and Economics, Elsevier, vol. 117(C), pages 1-15.
  27. Len Patrick Dominic M. Garces & Gerald H. L. Cheang, 2021. "A Numerical Approach to Pricing Exchange Options under Stochastic Volatility and Jump-Diffusion Dynamics," Papers 2106.07362, arXiv.org.
  28. Haverkamp, Matthias Wolbert & Musshoff, Oliver, 2013. "Are short rotation coppices an alternative to traditional agricultural land use in Germany? A real options approach," 2013 Conference (57th), February 5-8, 2013, Sydney, Australia 152184, Australian Agricultural and Resource Economics Society.
  29. Zafar Ahmad & Reilly Browne & Rezaul Chowdhury & Rathish Das & Yushen Huang & Yimin Zhu, 2023. "Fast American Option Pricing using Nonlinear Stencils," Papers 2303.02317, arXiv.org, revised Oct 2023.
  30. Lars Stentoft, 2013. "American option pricing using simulation with an application to the GARCH model," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 5, pages 114-147, Edward Elgar Publishing.
  31. M. Dahlgren, 2005. "A Continuous Time Model to Price Commodity-Based Swing Options," Review of Derivatives Research, Springer, vol. 8(1), pages 27-47, June.
  32. Bender Christian & Kolodko Anastasia & Schoenmakers John, 2006. "Policy iteration for american options: overview," Monte Carlo Methods and Applications, De Gruyter, vol. 12(5), pages 347-362, November.
  33. Cortazar, Gonzalo & Naranjo, Lorenzo & Sainz, Felipe, 2021. "Optimal decision policy for real options under general Markovian dynamics," European Journal of Operational Research, Elsevier, vol. 288(2), pages 634-647.
  34. Ning, Zhuo & Sun, Changyou, 2019. "Carbon sequestration and biofuel production on forestland under three stochastic prices," Forest Policy and Economics, Elsevier, vol. 109(C).
  35. Doan, Viet_Dung & Gaikwad, Abhijeet & Bossy, Mireille & Baude, Françoise & Stokes-Rees, Ian, 2010. "Parallel pricing algorithms for multi-dimensional Bermudan/American options using Monte Carlo methods," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(3), pages 568-577.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.