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This article presents fast lower and upper estimates for a large class ofoptions: the class of constrained multiple exercise American options. Typicaloptions in this class are swing options with volume and timing constraints, andpassport options with multiple lookback rights. The lower estimate algorithmuses the artificial intelligence method of lookahead search. The upper estimatealgorithm uses the dual approach to option pricing on a nearest-neighbor basisfor the martingale space. Probabilistic convergence guarantees are provided.Several numerical examples illustrate the approaches including a swing optionwith four constraints, and a passport option with 16 constraints.

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