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- W2013670323 abstract "This paper introduces the application of Monte Carlo simulation technology to the valuation of securities that contain many (buying or selling) rights, but for which a limited number can be exercised per period, and penalties if a minimum quantity is not exercised before maturity. These securities combine the characteristics of American options, with the additional constraint that only a few rights can be exercised per period and, therefore, their price depends also on the number of living rights (i.e., American-Asian-style payoffs), and forward securities. These securities give flexibility-of-delivery options and are common in energy markets (e.g., take-or-pay or swing options) and as real options (e.g., the development of a mine). First, we derive a series of properties for the price and the optimal exercise frontier of these securities. Second, we price them by simulation, extending the Ibanez and Zapatero (2004) method to this problem." @default.
- W2013670323 created "2016-06-24" @default.
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- W2013670323 date "2004-05-06" @default.
- W2013670323 modified "2023-09-26" @default.
- W2013670323 title "Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities" @default.
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