Erratum to ``A unified approach to multiple stopping and duality

DOI10.1016/J.ORL.2012.05.002zbMATH Open1251.91059OpenAlexW2044969021MaRDI QIDQ1758293FDOQ1758293

Authors: Martin B. Haugh, Shyam S. Chandramouli 

Publication date: 8 November 2012

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

Full work available at URL: https://doi.org/10.1016/j.orl.2012.05.002

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zbMATH Keywords

dualitymultiple stoppingswing options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic programming (90C15) Stopping times; optimal stopping problems; gambling theory (60G40)

Cites Work

• Information relaxations and duality in stochastic dynamic programs
• Pathwise Stochastic Optimal Control
• Dual representations for general multiple stopping problems
• Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
• Erratum to ``A unified approach to multiple stopping and duality

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