MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS

By Nicolai Meinshausen, Ben M. Hambly. 2004

154 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/fb1ea2678f8e97a8f75cd8a26fa9c3372baa564b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. René A. Carmona
2. M. Ludkovski
3. Tino Kluge
4. Michael J. Garvin
5. Jan Vecer
6. Sam D. Howison
7. Nicola Chiara
8. Ben M. Hambly

In Finance

1. René A. Carmona
2. M. Ludkovski
3. Tino Kluge
4. Sam D. Howison
5. Ben M. Hambly
6. Jan Vecer
7. Nicola Chiara
8. Michael J. Garvin

Citations in the corpus

• Modelling spikes and pricing swing options in electricity markets (2009, methodology): “A MonteCarlo method and ideas of duality theory are utilized by Meinshausen and Hambly (2004) to derive lower and upper bounds for swing option prices.”
• Valuing Simple Multiple-Exercise Real Options in Infrastructure Projects (2007, methodology): “On the other hand, literature on the LSM method applied to multiple-exercise options appears limited to Meinshausen and Hambly 2004 .”
• Pricing Asset Scheduling Flexibility using Optimal Switching (2008, background): “Recently, this has also been extended by Meinshausen and Hambly (2004) to cover the possibility of multiple exercise times.”
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008, background): “After this paper was completed, we learned of the existence of [22] where the authors derive Monte Carlo upper and lower bounds by extending Rogers’ duality strategy to American options with multiple exercises.”