OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (Q5459957): Difference between revisions

@@ Property / author @@
-René A. Carmona
@@ Property / author: René A. Carmona / rank @@
-Normal rank
@@ Property / author @@
+René A. Carmona
@@ Property / author: René A. Carmona / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1111/j.1467-9965.2007.00331.x
+Normal rank
@@ Property / OpenAlex ID @@
+W2168392234
@@ Property / OpenAlex ID: W2168392234 / rank @@
+Normal rank
@@ Property / cites work @@
+A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
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+Nonparametric statistics for stochastic processes. Estimation and prediction.
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+On the Malliavin approach to Monte Carlo approximation of conditional expectations
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+Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
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+Q4871637
@@ Property / cites work: Q4871637 / rank @@
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@@ Property / cites work @@
+Valuation of the early-exercise price for options using simulations and nonparametric regression
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+An analysis of a least squares regression method for American option pricing
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+Monte Carlo algorithms for optimal stopping and statistical learning
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+Applications of Malliavin calculus to Monte-Carlo methods in finance. II
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+Optimal Sequential Procedures when More Than one Stop is Required
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+Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
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+Valuation of Commodity-Based Swing Options
@@ Property / cites work: Valuation of Commodity-Based Swing Options / rank @@
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@@ Property / cites work @@
+Q4229805
@@ Property / cites work: Q4229805 / rank @@
+Normal rank
@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
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@@ Property / cites work @@
+Q5644823
@@ Property / cites work: Q5644823 / rank @@
+Normal rank