The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (Q3429332)
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scientific article; zbMATH DE number 5139338
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| English | The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope |
scientific article; zbMATH DE number 5139338 |
Statements
The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (English)
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30 March 2007
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domineering claim
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optimal stopping times
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pathwise optimality
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American and Bermudan options
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Snell envelope
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multiplicative decomposition
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0.767187237739563
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0.7661559581756592
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0.748019278049469
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0.7419150471687317
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