A dual approach to multiple exercise option problems under constraints (Q992045): Difference between revisions
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Property / cites work: Optimal Quantization for the Pricing of Swing Options / rank | |||
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Property / cites work: WHEN ARE SWING OPTIONS BANG-BANG? / rank | |||
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Property / cites work: Numerical methods for the pricing of swing options: a stochastic control approach / rank | |||
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Property / cites work: OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS / rank | |||
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Property / cites work: Q4433608 / rank | |||
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Property / cites work: Valuation of Commodity-Based Swing Options / rank | |||
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Property / cites work: MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS / rank | |||
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Latest revision as of 04:45, 3 July 2024
scientific article
Language | Label | Description | Also known as |
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English | A dual approach to multiple exercise option problems under constraints |
scientific article |
Statements
A dual approach to multiple exercise option problems under constraints (English)
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8 September 2010
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multiple optimal stopping
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dual approach
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multiple exercise options
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swing options
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