DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS (Q5247424): Difference between revisions

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+John G. M. Schoenmakers
@@ Property / author: John G. M. Schoenmakers / rank @@
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+MaRDI publication profile
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+W2102878536
@@ Property / OpenAlex ID: W2102878536 / rank @@
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@@ Property / arXiv ID @@
+.2638
@@ Property / arXiv ID: 1112.2638 / rank @@
+Normal rank
@@ Property / cites work @@
+A dual approach to multiple exercise option problems under constraints
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@@ Property / cites work @@
+Primal–dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps
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+Optimal Quantization for the Pricing of Swing Options
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+Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
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+Dual pricing of multi-exercise options under volume constraints
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+An iterative method for multiple stopping: convergence and stability
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+A Non‐Gaussian Ornstein–Uhlenbeck Process for Electricity Spot Price Modeling and Derivatives Pricing
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+Information Relaxations and Duality in Stochastic Dynamic Programs
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+Valuation of the early-exercise price for options using simulations and nonparametric regression
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@@ Property / cites work @@
+OPTIMAL TRADE EXECUTION UNDER GEOMETRIC BROWNIAN MOTION IN THE ALMGREN AND CHRISS FRAMEWORK
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+Valuation of electricity swing options by multistage stochastic programming
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+Modelling spikes and pricing swing options in electricity markets
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+Pricing American Options: A Duality Approach
@@ Property / cites work: Pricing American Options: A Duality Approach / rank @@
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@@ Property / cites work @@
+Valuation of Commodity-Based Swing Options
@@ Property / cites work: Valuation of Commodity-Based Swing Options / rank @@
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@@ Property / cites work @@
+Optimal multiple stopping time problem
@@ Property / cites work: Optimal multiple stopping time problem / rank @@
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@@ Property / cites work @@
+Valuing American Options by Simulation: A Simple Least-Squares Approach
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@@ Property / cites work @@
+Electricity prices and power derivatives: evidence from the Nordic Power Exchange
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@@ Property / cites work @@
+MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
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@@ 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 @@
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@@ Property / cites work @@
+Some mathematical aspects of market impact modeling
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@@ Property / cites work @@
+A pure martingale dual for multiple stopping
@@ Property / cites work: A pure martingale dual for multiple stopping / rank @@
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