AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING
From MaRDI portal
Publication:2947345
DOI10.1142/S0219024915500326zbMath1337.91157arXiv1505.07705MaRDI QIDQ2947345
Kazutoshi Yamazaki, Tim Leung, Hongzhong Zhang
Publication date: 22 September 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1505.07705
Lévy processes; optimal multiple stopping; maturity randomization; phase-type fitting; refraction times
60G51: Processes with independent increments; Lévy processes
60G40: Stopping times; optimal stopping problems; gambling theory
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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