Search Results - subject:"multiple exercise"

Forest of stochastic trees: A method for valuing multiple exercise options

Reesor, R. Mark; Marshall, T. James - In: Journal of Risk and Financial Management 13 (2020) 5, pp. 1-31

We present the Forest of Stochastic Trees (FOST) method for pricing multiple exercise options by simulation. The … as extending the stochastic tree method for valuing (single exercise) American-style options to multiple exercise options …

Persistent link: https://www.econbiz.de/10012611324

Forest of stochastic trees: a method for valuing multiple exercise options

Reesor, R. Mark; Marshall, T. James - In: Journal of risk and financial management : JRFM 13 (2020) 5/95, pp. 1-31

Persistent link: https://www.econbiz.de/10012304872

American step options

Detemple, Jérôme B.; Laminou Abdou, Souleymane; … - In: European journal of operational research : EJOR 282 (2020) 1, pp. 363-385

Persistent link: https://www.econbiz.de/10012157702

Swing option pricing by dynamic programming with B-spline density projection

Kirkby, J. Lars; Deng, Shijie - In: International journal of theoretical and applied finance 22 (2019) 8, pp. 1-53

Persistent link: https://www.econbiz.de/10012183215

Dual representations for general multiple stopping problems

Bender, Christian; Schoenmakers, John; Zhang, Jianing - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 339-370

Persistent link: https://www.econbiz.de/10011350619

A dual approach to multiple exercise option problems under constraints

Aleksandrov, N.; Hambly, B. - In: Computational Statistics 71 (2010) 3, pp. 503-533

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 … representation for the problem and give an algorithm for calculating both lower and upper bounds for the prices of such multiple …

Persistent link: https://www.econbiz.de/10010847807

A dual approach to multiple exercise option problems under constraints

Aleksandrov, N.; Hambly, B. - In: Mathematical Methods of Operations Research 71 (2010) 3, pp. 503-533

Persistent link: https://www.econbiz.de/10010950212

MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING

DOKUCHAEV, NIKOLAI - In: International Journal of Theoretical and Applied … 12 (2009) 04, pp. 545-575

We suggest a modification of an American option such that the option holder can exercise the option early before the expiration and can revert later this decision to exercise; it can be repeated a number of times. This feature gives additional flexibility and risk protection for the option...

Persistent link: https://www.econbiz.de/10004983232