- 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
- Publisher copy:
- 10.1007/s00186-010-0310-9
-
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- Journal:
- MATHEMATICAL METHODS OF OPERATIONS RESEARCH
- Volume:
- 71
- Issue:
- 3
- Pages:
- 503-533
- Publication date:
- 2010-06-05
- DOI:
- EISSN:
-
1432-5217
- ISSN:
-
1432-2994
- URN:
-
uuid:87e209e4-18fa-485e-b27e-afbd01fa0e67
- Source identifiers:
-
65341
- Local pid:
- pubs:65341
- Language:
- English
- Keywords:
- Copyright date:
- 2010
Journal article
A dual approach to multiple exercise option problems under constraints
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