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On the Robustness of the Snell Envelope - MaRDI portal

On the Robustness of the Snell Envelope (Q5388677)

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scientific article; zbMATH DE number 6025775
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English
On the Robustness of the Snell Envelope
scientific article; zbMATH DE number 6025775

    Statements

    title
    On the Robustness of the Snell Envelope (English)
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    author
    Pierre Del Moral
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    Peng Hu
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    Nadia Oudjane
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    Bruno Rémillard
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    publication date
    19 April 2012
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    zbMATH Keywords
    Snell envelope
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    optimal stopping
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    American option pricing
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    genealogical trees
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    interacting particle model
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    Identifiers

    DOI
    10.1137/100798016
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    Mathematics Subject Classification ID
    60G40
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    91G60
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    60H30
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    zbMATH DE Number
    6025775
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    OpenAlex ID
    W2056258887
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