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• W2163032429 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." @default.
• W2163032429 created "2016-06-24" @default.
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• W2163032429 date "2004-09-21" @default.
• W2163032429 modified "2023-09-23" @default.
• W2163032429 title "Monte Carlo Methods for the Valuation of Multiple-Exercise Options" @default.
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