Reesor, R. Mark; Marshall, T. James - In: Journal of risk and financial management : JRFM 13 (2020) 5/95, pp. 1-31
We present the Forest of Stochastic Trees (FOST) method for pricing multiple exercise options by simulation. The proposed method uses stochastic trees in place of binomial trees in the Forest of Trees algorithm originally proposed to value swing options, hence extending that method to allow for...
