An iterative method for multiple stopping: convergence and stability

DOI10.1239/AAP/1158684999MaRDI QIDQ5395357zbMATH OpenOpenAlexFDO

Authors Christian Bender, John Schoenmakers

Publication date 2 November 2006

Published in Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1239/aap/1158684999

zbMATH Keywords

multiple callable financial derivativemultiple stoppingoptimal stoppingpolicy improvementSnell envelope

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stopping in statistics (62L15) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A NEW MONTE CARLO METHOD FOR AMERICAN OPTIONS
• An iterative method for multiple stopping: convergence and stability
• Dynamic programming and optimal control. Vol. 2.
• scientific article; zbMATH DE number 1577097 (Why is no real title available?)
• scientific article; zbMATH DE number 3538599 (Why is no real title available?)
• scientific article; zbMATH DE number 700091 (Why is no real title available?)
• Iterative construction of the optimal Bermudan stopping time
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• Monte Carlo valuation of American options
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• Pricing American options by simulation using a stochastic mesh with optimized weights
• Pricing American Options: A Duality Approach
• Robust Libor Modelling and Pricing of Derivative Products
• Valuation by Simulation of Contingent Claims with Multiple Early Exercise Opportunities
• Valuation of Commodity-Based Swing Options

Cited in

(20)

• A pure martingale dual for multiple stopping
• Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
• Optimal exercise strategies for operational risk insurance via multiple stopping times
• Optimal multiple stopping with random waiting times
• Multilevel simulation based policy iteration for optimal stopping -- convergence and complexity
• An iterative procedure for solving integral equations related to optimal stopping problems
• A general optimal multiple stopping problem with an application to swing options
• Enhanced policy iteration for American options via scenario selection
• scientific article; zbMATH DE number 1984144 (Why is no real title available?)
• Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
• scientific article; zbMATH DE number 4115648 (Why is no real title available?)
• Dual pricing of multi-exercise options under volume constraints
• Continuously controlled options: derivatives with added flexibility
• MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING
• Dual representations for general multiple stopping problems
• An iterative method for multiple stopping: convergence and stability
• Primal-dual linear Monte Carlo algorithm for multiple stopping -- an application to flexible caps
• Sensitivities for Bermudan options by regression methods
• Optimal multiple stopping problem under nonlinear expectation
• An iterative method for the multiple stopping problem under Knightian uncertainty

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