An iterative method for multiple stopping: convergence and stability

DOI10.1239/aap/1158684999zbMath1114.60033OpenAlexW2133623249MaRDI QIDQ5395357

Christian Bender, John G. M. Schoenmakers

Publication date: 2 November 2006

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1158684999

zbMATH Keywords

optimal stoppingmultiple stoppingSnell envelopepolicy improvementmultiple callable financial derivative

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15)

Related Items (16)

A General Optimal Multiple Stopping Problem with an Application to Swing Options ⋮ Optimal exercise strategies for operational risk insurance via multiple stopping times ⋮ Sensitivities for Bermudan options by regression methods ⋮ Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity ⋮ Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method ⋮ Enhanced policy iteration for American options via scenario selection ⋮ Optimal multiple stopping problem under nonlinear expectation ⋮ Dual pricing of multi-exercise options under volume constraints ⋮ An iterative method for multiple stopping: convergence and stability ⋮ Primal–dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps ⋮ Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation ⋮ CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY ⋮ A pure martingale dual for multiple stopping ⋮ MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING ⋮ DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS ⋮ Optimal Multiple Stopping with Random Waiting Times

Cites Work

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• An iterative method for multiple stopping: convergence and stability
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

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