A dual approach to multiple exercise option problems under constraints
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Publication:992045
DOI10.1007/s00186-010-0310-9zbMath1200.60034OpenAlexW2045205720MaRDI QIDQ992045
Publication date: 8 September 2010
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-010-0310-9
Optimality conditions and duality in mathematical programming (90C46) Dynamic programming (90C39) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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