Valuation by simulation of contingent claims with multiple early exercise opportunitie

Alfredo Ibáñez Rodríguez

Producció científica: Article en revista indexadaArticleAvaluat per experts


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 Ibáñez and Zapatero (2004) method to this problem.
Idioma originalAnglès
Pàgines (de-a)223-248
RevistaMathematical Finance
Estat de la publicacióPublicada - 1 d’abr. 2004
Publicat externament


Navegar pels temes de recerca de 'Valuation by simulation of contingent claims with multiple early exercise opportunitie'. Junts formen un fingerprint únic.

Com citar-ho