caa a22 4500 445363126 CHVBK 20180317142921.0 cr unu---uuuuu 170323e20110101xx s 000 0 eng 10.1007/s00780-010-0134-8 doi (NATIONALLICENCE)springer-10.1007/s00780-010-0134-8 Bender Christian Department of Mathematics, Saarland University, PO Box 151150, 66041, Saarbrücken, Germany aut Dual pricing of multi-exercise options under volume constraints [Elektronische Daten] [Christian Bender] In this paper, we study the pricing problem of multi-exercise options under volume constraints. The volume constraint is modelled by an adapted process with values in the positive integers, which describes the maximal number of rights to be exercised at a given time. We derive a representation of the marginal value of an additional nth right as a standard single stopping problem with a modified cash-flow process. This representation then leads to a dual pricing formula, which generalizes a result by Meinshausen and Hambly (Math. Finance 14:557-583, 2004) from the standard multi-exercise option (with at most one right per time step) to general constraints. We also state an explicit Monte Carlo algorithm for computing confidence intervals for the price of multi-exercise options under volume constraints and present numerical results for the pricing of a swing contract in an electricity market. Springer-Verlag, 2010 Duality nationallicence Option pricing nationallicence Monte Carlo simulation nationallicence Multi-exercise options nationallicence Swing options nationallicence Finance and Stochastics Springer-Verlag 15/1(2011-01-01), 1-26 0949-2984 15:1<1 2011 15 780 https://doi.org/10.1007/s00780-010-0134-8 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00780-010-0134-8 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Bender Christian Department of Mathematics, Saarland University, PO Box 151150, 66041, Saarbrücken, Germany aut NATIONALLICENCE 773 0- Finance and Stochastics Springer-Verlag 15/1(2011-01-01), 1-26 0949-2984 15:1<1 2011 15 780 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer