Monte Carlo Methods for Multiple Exercise Options 

Ben Hambly (University of Oxford)

The pricing of American style options by Monte Carlo methods is an important problem in mathematical finance with important developments in the last three years. In this talk I will discuss Monte Carlo methods for valuing options with multiple exercise features in discrete time. By extending the recently developed duality ideas for American option pricing we show how to obtain upper and lower estimates on the prices of such options using Monte Carlo techniques. We prove convergence of our approach and estimate the error. The methods are applied to options in the energy and interest rate derivative markets.