A bilevel programming approach to double optimal stopping

DOI10.1016/j.amc.2014.04.024zbMath1335.91122OpenAlexW2064592042MaRDI QIDQ275213

Cloud Makasu

Publication date: 25 April 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.04.024

zbMATH Keywords

bilevel programming problemdouble optimal stopping problemintegral options

Mathematics Subject Classification ID

Nonlinear programming (90C30) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Bilevel Optimization: Theory, Algorithms, Applications and a Bibliography

Cites Work

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