Journal article
Monte Carlo methods for the valuation of multiple exercise options
- Abstract:
- We discuss Monte Carlo methods for valuing options with multiple exercise features in discrete time. By extending the recently developed duality ideas for American option pricing we show how to obtain estimates on the prices of such options using Monte Carlo techniques. We prove convergence of our approach and estimate the error. The methods are applied to options in the energy and interest rate derivative markets.
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(Preview, pdf, 199.1KB, Terms of use)
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- Publication date:
- 2003-10-31
- UUID:
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uuid:4dbf42a1-a5fa-4152-a901-ab0dd26acdef
- Local pid:
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oai:eprints.maths.ox.ac.uk:58
- Deposit date:
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2011-05-19
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- Copyright date:
- 2003
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