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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.
Publication status:
Published

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Institution:
University of Oxford
Division:
MPLS
Department:
Statistics
Role:
Author
More by this author
Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
Journal:
MATHEMATICAL FINANCE
Volume:
14
Issue:
4
Pages:
557-583
Publication date:
2004-10-01
DOI:
EISSN:
1467-9965
ISSN:
0960-1627
Source identifiers:
188
Language:
English
Keywords:
Pubs id:
pubs:188
UUID:
uuid:664ee1f1-0ec1-4bc2-8e53-13b16aa15c0a
Local pid:
pubs:188
Deposit date:
2012-12-19

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