A pure martingale dual for multiple stopping

DOI10.1007/s00780-010-0149-1zbMath1266.60077MaRDI QIDQ1761446

John G. M. Schoenmakers

Publication date: 15 November 2012

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-010-0149-1

zbMATH Keywords

multiple stopping; dual representations; multiple exercise options; multiple callable derivatives

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

62L15: Optimal stopping in statistics