A METHOD FOR PRICING AMERICAN OPTIONS USING SEMI‐INFINITE LINEAR PROGRAMMING (Q5411398): Difference between revisions

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+.4483
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+Q4356583
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+Linear Programming Formulation for Optimal Stopping Problems
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+A harmonic function technique for the optimal stopping of diffusions
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+User’s guide to viscosity solutions of second order partial differential equations
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+On the optimal stopping problem for one-dimensional diffusions.
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+Convexity of the optimal stopping boundary for the American put option
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+Pricing American Options: A Duality Approach
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+Construction of the Value Function and Optimal Rules in Optimal Stopping of One-Dimensional Diffusions
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+Semi-Infinite Programming: Theory, Methods, and Applications
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+A Forward Algorithm for Solving Optimal Stopping Problems
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+COMPARISON OF NUMERICAL AND ANALYTICAL APPROXIMATIONS OF THE EARLY EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
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+Optimal stopping of Hunt and Lévy processes
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+Existence and explicit determination of optimal stopping times
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+Bounds for the American perpetual put on a stock index
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+Monte Carlo valuation of American options
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+Optimal Stopping of One-Dimensional Diffusions
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+Relaxed cutting plane method for solving linear semi-infinite programming problems
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