A pure martingale dual for multiple stopping
type: Item
instance of: scholarly article
title: A pure martingale dual for multiple stopping
zbMATH Open document ID: 1266.60077
published in: Finance and Stochastics
publication date: 2012-11-15T00:00:00Z
review text: 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}]).
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 62L15
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6106809
zbMATH Keywords: multiple stopping
zbMATH Keywords: dual representations
zbMATH Keywords: multiple callable derivatives
zbMATH Keywords: multiple exercise options
author: John Schoenmakers
reviewed by: Krzysztof J. Szajowski
MaRDI profile type: Publication
full work available at URL: s00780-010-0149-1
OpenAlex ID: W2079498898
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DOI: 10.1007/S00780-010-0149-1
description: scientific article; zbMATH DE number 6106809