6948

Simulation Valuation of Multiple Exercise Options

T. James Marshall, R. Mark Reesor, Matthew Cox
University of Western Ontario, 1151 Richmond Street North, London, ON N6A5B7, Canada
2011 Winter Simulation Conference (WSC), 2011

@article{marshall2011simulation,

   title={Simulation Valuation of Multiple Exercise Options},

   author={Marshall, T. James and Reesor, R. Mark and Cox, Matthew},

   year={2011}

}

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Multiple exercise options generalize American-style options as they allow the holder multiple exercise rights and control over the exercise amounts. They arise in both real and financial option applications, such as tolling agreements and swing options which are primarily used in the energy industry. The Forest of Stochastic Meshes is a recently proposed simulation method for valuing such options. This method accommodates general price processes and payoffs, produces high- and low-biased consistent estimators and a true option price confidence interval. Here we investigate improving the efficiency of this computationally-intensive procedure through high-performance computing (HPC) techniques.
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