The Mathematical Institute, University of Oxford, Eprints Archive

Monte Carlo methods for the valuation of multiple exercise options

Hambly, B. M. and Meinshausen, N. (2003) Monte Carlo methods for the valuation of multiple exercise options. Mathematical Finance . (In Press)

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Abstract

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.

Item Type:Article
Subjects:D - G > Game theory, mathematical finance, economics, social and behavioral sciences
O - Z > Probability theory and stochastic processes
Research Groups:Stochastic Analysis Group
Oxford Centre for Industrial and Applied Mathematics
Mathematical and Computational Finance Group
ID Code:58
Deposited By:Ben Hambly
Deposited On:22 Apr 2004
Last Modified:20 Jul 2009 14:18

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