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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...

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Publication status:
Published

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

Authors


Aleksandrov, N More by this author
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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
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

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