An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting (Q2947345)
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scientific article; zbMATH DE number 6484381
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| English | An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting |
scientific article; zbMATH DE number 6484381 |
Statements
AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING (English)
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22 September 2015
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optimal multiple stopping
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refraction times
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maturity randomization
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phase-type fitting
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Lévy processes
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0.8055875897407532
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0.7819227576255798
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0.7813615202903748
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0.7721120119094849
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0.7598699331283569
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