Real option models maximize the estimated market value of operational assets, exploiting
the flexibility that decision makers have in managing these assets. Inspired by the valuation …

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 …

In this paper we study the pricing problem of multiple exercise options in continuous time on
a finite time horizon. For the corresponding multiple stop** problem, we prove, under quite …

In this paper, we present a dual representation for the multiple stop** problem, hence
multiple exercise options. As such, it is a natural generalization of the method in Rogers …

This is an advanced guide to optimal stop** and control, focusing on advanced Monte
Carlo simulation and its application to finance. Written for quantitative finance practitioners …

In this paper, we study the dual representation for generalized multiple stop** problems,
hence the pricing problem of general multiple exercise options. We derive a dual …

We study the optimal oil extraction strategy and the value of an oil field using a multiple real
option approach. The numerical method is flexible enough to solve a model with several …

This is the pre-peer reviewed version of the following article: Benth, Fred Espen; Lempa,
Jukka; Nilssen, Trygve Kastberg, On the optimal exercise of swing options in electricity …

The main approaches to dual representations of multiple stop** problems are the
marginal and pure martingale approaches of Meinshausen and Hambly (2004)[17] and …

Small and medium sized reactors, SMRs,(according to IAEA,'small'refers to reactors with
power less than 300MWe, and 'medium'with power less than 700MWe) are considered as …