Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities

Alfredo Ibáñez ()

No 114, Computing in Economics and Finance 2002 from Society for Computational Economics

Keywords: American, Real and Swing Options; Simulation; Dynamic Programming (search for similar items in EconPapers)
JEL-codes: G0 (search for similar items in EconPapers)
Date: 2002-07-01
New Economics Papers: this item is included in nep-cmp and nep-rmg
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Journal Article: Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf2:114

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