Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale

no code implementations • 26 Feb 2020 • Nicolas Essis-Breton, Patrice Gaillardetz

Typical options in this class are swing options with volume and timing constraints, and passport options with multiple lookback rights.

Risk-Control Strategies

no code implementations • 6 Aug 2019 • Patrice Gaillardetz, Saeb Hachem

In this paper, we consider the pricing of derivative products that involve dynamic hedging strategies and payments within the planning horizon.