The option to exchange one asset for another is one of the oldest and one of the most popular exotic options. In the present article, we extend the existing literature on options to Parisian exchange options, i.e. the option to exchange one asset for the other contingent on the occurrence of the...

<title>Abstract</title> In this paper we consider the valuation of Bermudan callable derivatives with multiple exercise rights. We present in this context a new primal--dual <italic>linear</italic> Monte Carlo algorithm that allows for efficient simulation of the lower and upper price bounds without using nested simulations...

The paper analyzes insurance contracts where the benefits of the insured depend on the performance of an investment strategy and which guarantee a certain interest rate on the contributions made by the insured. The insured has to decide simultaneously on the investment strategy and the guarantee...