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.

Publication status:: Published

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APA Style

Meinshausen, N., & Hambly, B. (2004). Monte Carlo methods for the valuation of multiple-exercise options. MATHEMATICAL FINANCE, 14(4), 557–583.

MLA Style

Meinshausen, N., and B. Hambly. “Monte Carlo Methods for the Valuation of Multiple-Exercise Options.” MATHEMATICAL FINANCE, vol. 14, no. 4, 2004, pp. 557–83.

Chicago Style

Meinshausen, N, and B Hambly. 2004. “Monte Carlo Methods for the Valuation of Multiple-Exercise Options.” MATHEMATICAL FINANCE 14 (4): 557–83.
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Publisher copy:: 10.1111/j.0960-1627.2004.00205.x

Authors

+ Meinshausen, N More by this author

Institution:: University of Oxford
Division:: MPLS
Department:: Statistics
Role:: Author

+ Hambly, B More by this author

Institution:: University of Oxford
Division:: MPLS
Department:: Mathematical Institute
Role:: Author

Journal:: MATHEMATICAL FINANCE More from this journal
Volume:: 14
Issue:: 4
Pages:: 557-583
Publication date:: 2004-10-01
DOI:: 10.1111/j.0960-1627.2004.00205.x
EISSN:: 1467-9965
ISSN:: 0960-1627

Language:: English
Keywords:: Monte Carlo

martingale

clvality

swing options

multiple-exercise options
Pubs id:: pubs:188
UUID:: uuid:664ee1f1-0ec1-4bc2-8e53-13b16aa15c0a
Local pid:: pubs:188
Source identifiers:: 188
Deposit date:: 2012-12-19

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Copyright date:: 2004

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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