On the Robustness of the Snell Envelope

DOI10.1137/100798016zbMath1238.60048OpenAlexW2056258887MaRDI QIDQ5388677

Bruno Rémillard, Nadia Oudjane, Pierre Del Moral, Peng Hu

Publication date: 19 April 2012

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/inria-00487103v4/file/RR-7303-v4.pdf

zbMATH Keywords

optimal stoppingAmerican option pricingSnell envelopeinteracting particle modelgenealogical trees

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (3)

Sequential Design for Optimal Stopping Problems ⋮ Snell envelope with small probability criteria ⋮ McKean Feynman-Kac probabilistic representations of non-linear partial differential equations

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