Monte Carlo methods for the valuation of multiple-exercise options
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...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2004
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