Pricing American Options: A Duality Approach

DOI10.1287/OPRE.1030.0070zbMath1165.91401OpenAlexW3122113998MaRDI QIDQ3637422

Leonid Kogan, Martin B. Haugh

Publication date: 10 July 2009

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/48820

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Duality theory (optimization) (49N15)

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