Dual Valuation and Hedging of Bermudan Options
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Publication:3580040
DOI10.1137/090772198zbMath1193.91159OpenAlexW2089124841MaRDI QIDQ3580040
Publication date: 11 August 2010
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/090772198
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Optimal stopping in statistics (62L15) Credit risk (91G40)
Related Items (7)
Solving optimal stopping problems via empirical dual optimization ⋮ Dual Pricing of American Options by Wiener Chaos Expansion ⋮ Discrete Time Approximations of Continuous Time Finite Horizon Stopping Problems ⋮ A convex duality approach for pricing contingent claims under partial information and short selling constraints ⋮ Recursive lower and dual upper bounds for Bermudan-style options ⋮ Deep optimal stopping ⋮ Solving high-dimensional optimal stopping problems using deep learning
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