MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
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DOI：
10.1111/j.0960-1627.2004.00205.x
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发表时间：
2004-09
影响因子：
1.6
通讯作者：
Nicolai Meinshausen;Ben M. Hambly
中科院分区：
文献类型：
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作者：
Nicolai Meinshausen;Ben M. Hambly
We discuss Monte Carlo methods for valuing options with multiple‐exercise features in discrete time. By extending the recently developed duality ideas for American option pricing, we show how to obtain estimates on the prices of such options using Monte Carlo techniques. We prove convergence of our approach and estimate the error. The methods are applied to options in the energy and interest rate derivative markets.
