Search Results - subject:"multiple exercise options"

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

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 … exercise options. Copyright Springer-Verlag 2010 … 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