DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS

DOI10.1111/mafi.12030zbMath1318.91189arXiv1112.2638OpenAlexW2102878536MaRDI QIDQ5247424

Christian Bender, Jianing Zhang, John G. M. Schoenmakers

Publication date: 24 April 2015

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.2638

zbMATH Keywords

Monte Carlo algorithmvolume constraintsdual representationsmultiple exercise optionsgeneral multiple stopping problemrefraction period

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (10)

An algorithmic approach to optimal asset liquidation problems ⋮ Optimal exercise strategies for operational risk insurance via multiple stopping times ⋮ First Order BSPDEs in Higher Dimension for Optimal Control Problems ⋮ Optimal procurement strategies for contractual assembly systems with fluctuating procurement price ⋮ Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces ⋮ A unified approach to multiple stopping and duality ⋮ Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes ⋮ Erratum to ``A unified approach to multiple stopping and duality ⋮ A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING ⋮ Monte Carlo methods via a dual approach for some discrete time stochastic control problems

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