ScholarLens Back to search
2003•Oxford University Research Archive (ORA) (University of Oxford)Requires access

Monte Carlo methods for the valuation of multiple exercise options

Ben M. Hambly, Nicolai Meinshausen

Open publisher page 146 citations

Abstract

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 approach and estimate the error. The methods are applied to options in the energy and interest rate derivative markets.

About this research paper

What this paper is about

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 approach and estimate the error. The methods are applied to options in the energy and interest rate derivative markets.

Why it matters

OpenAlex reports 146 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Available abstract

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 approach and estimate the error. The methods are applied to options in the energy and interest rate derivative markets.

Key concepts: Monte Carlo method, Monte Carlo methods for option pricing, Valuation of options, Binomial options pricing model, Valuation (finance), Quasi-Monte Carlo method, Econometrics, Derivative (finance)

Related papers

Related paper 1Related paper 2Related paper 3
Back to paper searchBrowse research topicsOriginal source
Monte Carlo methods for the valuation of multiple exercise options — Research Paper | ScholarLens