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:  29 May 2015 18:15 
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