A pure martingale dual for multiple stopping
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Publication:1761446
DOI10.1007/s00780-010-0149-1zbMath1266.60077OpenAlexW2079498898MaRDI QIDQ1761446
Publication date: 15 November 2012
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-010-0149-1
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15)
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