Pricing American contingent claims by stochastic linear programming (Q3391893): Difference between revisions

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+Randomized Stopping Times and American Option Pricing with Transaction Costs
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+Martingales and arbitrage in multiperiod securities markets
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+Duality and martingales: a stochastic programming perspective on contingent claims
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+Measures of model uncertainty and calibrated option bounds
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+Q4235027
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+Stochastic programming approach to optimization under uncertainty
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