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Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
16 references·1 citing·38 second hop
Primal and Dual Pricing of Multiple Exercise Options in Continuous Time (2011)Primal and Dual Pricing of Multiple Exerc…Dual pricing of multi-exercise options under volume constraints (2010)Dual pricing of multi-exercis…TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO (2009)TRUE UPPER BOUNDS FOR BERMUDA…Modelling spikes and pricing swing options in electricity markets (2009)Modelling spikes and pricing …STochastic Modeling of Electricity and Related Markets (2008)STochastic Modeling of Electr…OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008)OPTIMAL MULTIPLE STOPPING AND…Brownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing (2007)A Non‐Gaussian Ornstein–Uhlen…Valuation of Commodity-Based Swing Options (2004)Valuation of Commodity-Based …Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…Pricing American Options: A Duality Approach (2004)Pricing American Options: A D…Monte Carlo methods for the valuation of multiple exercise options (2003)Monte Carlo methods for the v…A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)A quantization algorithm for …Monte Carlo valuation of American options (2002)Monte Carlo valuation of Amer…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…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS (2013)DUAL REPRESENTATIONS FOR GENE…The pricing of commodity contracts (1976)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Option valuation using the fast Fourier transform (1999)Market price of risk implied by Asian-style electricity options and futures (2007)Stochastic modeling of financial electricity contracts (2007)The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Pricing Interest-Rate-Derivative Securities (1990)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)Understanding the Fine Structure of Electricity Prices* (2006)Renewable energy investments under different support schemes: A real options approach (2012)Pricing American-style securities using simulation (1997)A stochastic mesh method for pricing high-dimensional American options (2004)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Valuing Simple Multiple-Exercise Real Options in Infrastructure Projects (2007)Valuation of energy storage: an optimal switching approach (2009)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Regression methods for pricing complex American-style options (2001)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)Options: A Monte Carlo approach (1977)Option pricing: A simplified approach (1979)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Information Relaxations and Duality in Stochastic Dynamic Programs (2010)Dynamic Asset Pricing Theory. (1993)Markov Perfect Industry Dynamics with Many Firms (2005)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Heavy-tails and regime-switching in electricity prices (2008)A Critical Empirical Study of Three Electricity Spot Price Models (2011)Estimation methods for expected shortfall (2013)
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References

  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 2002Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange965 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 2004Pricing American Options: A Duality Approach452 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 2008STochastic Modeling of Electricity and Related Markets307 cited
  • 2004Valuation of Commodity-Based Swing Options276 cited
  • 2007A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing244 cited
  • 2003A quantization algorithm for solving multidimensional discrete-time optimal stopping problems213 cited
  • 2008OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS191 cited
  • 2003Monte Carlo methods for the valuation of multiple exercise options141 cited
  • 2009Modelling spikes and pricing swing options in electricity markets112 cited
  • 2010Dual pricing of multi-exercise options under volume constraints

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104 cited
  • 2009TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO91 cited
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    • 2013DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS26 cited