A unified approach to multiple stopping and duality (Q453044): Difference between revisions

@@ Property / author @@
-Shyam Sundar Chandramouli
@@ Property / author: Shyam Sundar Chandramouli / rank @@
-Normal rank
@@ Property / author @@
+Shyam Sundar Chandramouli
@@ Property / author: Shyam Sundar Chandramouli / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.orl.2012.03.009
+Normal rank
@@ Property / OpenAlex ID @@
+W1973303403
@@ Property / OpenAlex ID: W1973303403 / rank @@
+Normal rank
@@ Property / cites work @@
+A dual approach to multiple exercise option problems under constraints
+Normal rank
@@ Property / cites work @@
+Dual pricing of multi-exercise options under volume constraints
+Normal rank
@@ Property / cites work @@
+Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
+Normal rank
@@ Property / cites work @@
+DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS
+Normal rank
@@ Property / cites work @@
+Information Relaxations and Duality in Stochastic Dynamic Programs
+Normal rank
@@ Property / cites work @@
+Additive and multiplicative duals for American option pricing
+Normal rank
@@ Property / cites work @@
+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
+Normal rank
@@ Property / cites work @@
+Linear-quadratic control and information relaxations
+Normal rank
@@ Property / cites work @@
+Valuation of Commodity-Based Swing Options
@@ Property / cites work: Valuation of Commodity-Based Swing Options / rank @@
+Normal rank
@@ Property / cites work @@
+The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
+Normal rank
@@ Property / cites work @@
+MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
+Normal rank
@@ Property / cites work @@
+Monte Carlo valuation of American options
@@ Property / cites work: Monte Carlo valuation of American options / rank @@
+Normal rank
@@ Property / cites work @@
+Pathwise Stochastic Optimal Control
@@ Property / cites work: Pathwise Stochastic Optimal Control / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:453044