A pure martingale dual for multiple stopping
A dual representation for the optimal stopping problem for American options was presented by \textit{L. C. G. Rogers} [Math. Finance 12, No. 3, 271--286 (2002; Zbl 1029.91036)] and \textit{M. B. Haugh} and \textit{L. Kogan} [Oper. Res. 52, No. 2, 258--270 (2004; Zbl 1165.91401)]. This paper deals with a dual representation for multiple stopping problems, which is used, e.g., in the pricing of multiple exercise options. The main result is about the construction of such a dual representation. Monte Carlo simulation methods for this representation requiring at most one degree of nesting, just as in the single-exercise case, are proposed. The procedures are natural extensions of the corresponding ones for the single-exercise case (c.f. the primal-dual approach by \textit{L. Andersen} and \textit{M. Broadie} [``A primal-dual simulation algorithm for pricing multidimensional American options'', Manage. Sci. 50, No. 9, 1222--1234 (2004), \url{http://www.jstor.org/stable/30046229}]).
scientific article; zbMATH DE number 6106809
scientific article