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Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
16 references·9 citing·42 second hop
Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities (2004)Valuation by Simulation of Contingent Cla…Valuation of Commodity-Based Swing Options (2004)Valuation of Commodity-Based …Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Electricity Prices and Power …Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Stochastic Behavior of Co…Monte Carlo methods for security pricing (1997)Monte Carlo methods for secur…General Properties of Option Prices (1996)General Properties of Option …Real Options in Capital Investment (1995)Real Options in Capital Inves…Numerical Valuation of High Dimensional Multivariate American Securities (1995)Numerical Valuation of High D…Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure (1995)Mean Reversion in Equilibrium…Implementing Option Pricing Models When Asset Returns Are Predictable (1995)Implementing Option Pricing M…Numerical Procedures for Implementing Term Structure Models II (1994)Numerical Procedures for Impl…Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models (1994)Numerical Procedures for Impl…Efficient Procedures for Valuing European and American Path-Dependent Options (1993)Efficient Procedures for Valu…Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Stochastic Convenience Yield …Evaluating Natural Resource Investments (1985)Evaluating Natural Resource I…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Revenue Risk Allocation Mechanism in Public-Private Partnership Projects: Swing Option Approach (2020)Revenue Risk Allocation Mecha…OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY (2010)OPTIMAL REDEEMING STRATEGY OF…Pricing of Swing Options in a Mean Reverting Model with Jumps (2008)Pricing of Swing Options in a…UK gas markets: The market price of risk and applications to multiple interruptible supply contracts (2007)UK gas markets: The market pr…Optimal multiple stopping models of reload options and shout options (2007)Optimal multiple stopping mod…UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts (2006)UK Gas Markets: the Market Pr…An iterative method for multiple stopping: convergence and stability (2006)An iterative method for multi…Wireless network capacity management: A real options approach (2005)Wireless network capacity man…A Continuous Time Model to Price Commodity-Based Swing Options (2005)A Continuous Time Model to Pr…Investment under Uncertainty (1994)Investment Under Uncertainty. 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this work references cited by second hop

References

  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1985Evaluating Natural Resource Investments2,379 cited
  • 1997The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging2,116 cited
  • 1990Stochastic Convenience Yield and the Pricing of Oil Contingent Claims1,058 cited
  • 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange965 cited
  • 1997Monte Carlo methods for security pricing856 cited
  • 1994Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models519 cited
  • 1995Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure400 cited
  • 1995Numerical Valuation of High Dimensional Multivariate American Securities325 cited
  • 1993Efficient Procedures for Valuing European and American Path-Dependent Options277 cited
  • 2004Valuation of Commodity-Based Swing Options276 cited
  • 1994Numerical Procedures for Implementing Term Structure Models II230 cited
  • 1996General Properties of Option Prices218 cited
  • 1995Implementing Option Pricing Models When Asset Returns Are Predictable

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217 cited
  • 1995Real Options in Capital Investment205 cited
  • Cited by

    • 2007UK gas markets: The market price of risk and applications to multiple interruptible supply contracts80 cited
    • 2020Revenue Risk Allocation Mechanism in Public-Private Partnership Projects: Swing Option Approach41 cited
    • 2006An iterative method for multiple stopping: convergence and stability37 cited
    • 2010OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY36 cited
    • 2008Pricing of Swing Options in a Mean Reverting Model with Jumps34 cited
    • 2005A Continuous Time Model to Price Commodity-Based Swing Options30 cited
    • 2005Wireless network capacity management: A real options approach28 cited
    • 2007Optimal multiple stopping models of reload options and shout options22 cited
    • 2006UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts20 cited