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Valuation Of Multiple Exercise Options, T. James Marshall

Electronic Thesis and Dissertation Repository

Multiple exercise options may be considered as generalizations of American-style options as they provide the holder more than one exercise right. Examples of financial derivatives and real options with these properties have become more prevalent over the past decade and appear in sectors ranging from insurance to energy industries. Throughout the thesis particular attention is paid to swing options although we note that the methods described are equally applicable to other types of multiple exercise options. This thesis presents two novel methods for pricing multiple exercise option by simulation; the forest of stochastic trees and the forest of stochastic meshes. …