Journal article icon

Journal article

A dual approach to multiple exercise option problems under constraints

Abstract:

This paper considers the pricing of multiple exercise options in discrete time. This type of option can be exercised up to a finite number of times over the lifetime of the contract. We allow multiple exercise of the option at each time point up to a constraint, a feature relevant for pricing swing options in energy markets. It is shown that, in the case where an option can be exercised an equal number of times at each time point, the problem can be reduced to the case of a single exercise po...

Expand abstract
Publication status:
Published

Actions


Access Document


Publisher copy:
10.1007/s00186-010-0310-9

Authors


More by this author
Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
Journal:
MATHEMATICAL METHODS OF OPERATIONS RESEARCH
Volume:
71
Issue:
3
Pages:
503-533
Publication date:
2010-06-01
DOI:
EISSN:
1432-5217
ISSN:
1432-2994
Source identifiers:
65341
Language:
English
Keywords:
Pubs id:
pubs:65341
UUID:
uuid:87e209e4-18fa-485e-b27e-afbd01fa0e67
Local pid:
pubs:65341
Deposit date:
2012-12-19

Terms of use


Views and Downloads






If you are the owner of this record, you can report an update to it here: Report update to this record

TO TOP