A bilevel programming approach to double optimal stopping
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Publication:275213
DOI10.1016/j.amc.2014.04.024zbMath1335.91122OpenAlexW2064592042MaRDI QIDQ275213
Publication date: 25 April 2016
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2014.04.024
Nonlinear programming (90C30) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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