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MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE-EXERCISE OPTIONS
Authors:N Meinshausen  B M Hambly
Institution:ETH Zurich; University of Oxford
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.
Keywords:Monte Carlo  clvality  martingale  swing options  multiple-exercise options
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