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

DOI10.1016/J.ORL.2012.05.002MaRDI QIDQ1758293zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

Cited in

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• Erratum to ``A unified approach to multiple stopping and duality
• Erratum to: ``The robust superreplication problem: a dynamic approach
• A unified approach to multiple stopping and duality
• Corrigendum to: ``Martingale optimal transport in the Skorokhod space
• Erratum: ``Convex duality in stochastic optimization and mathematical finance

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