A DISCRETE VALUATION OF SWING OPTIONS

By A. Lari-Lavassani, Mohamadreza Simchi. 2002

71 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/070be8576c0a546c94f675521437227693eadc78

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Citations in the corpus

• Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach (2006, methodology): “, 2004; Lari-Lavassani et al., 2001). 2. Using Monte Carlo simulations of (Fti)0≤i≤N , which are much more adapted to multi-factor models. They enable to compute conditional expectations involved in Eq. 3.9 (with another representation) using regression techniques (analogous to the Longstaff–Schwart”