A unified approach to multiple stopping and duality

DOI10.1016/J.ORL.2012.03.009MaRDI QIDQ453044zbMATH OpenOpenAlexFDO

Authors Martin B. Haugh, Shyam S. Chandramouli

Publication date 18 September 2012

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2012.03.009

zbMATH Keywords

dualitymultiple stoppingswing options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic programming (90C39) Stochastic programming (90C15) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• A dual approach to multiple exercise option problems under constraints
• Additive and multiplicative duals for American option pricing
• Dual pricing of multi-exercise options under volume constraints
• Dual representations for general multiple stopping problems
• Information relaxations and duality in stochastic dynamic programs
• Linear-quadratic control and information relaxations
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• Monte Carlo valuation of American options
• Pathwise Stochastic Optimal Control
• Pricing American Options: A Duality Approach
• Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
• The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
• Valuation of Commodity-Based Swing Options

Cited in

(12)

• Pathwise dynamic programming
• A duality approach to problems of combined stopping and deciding under constraints
• Dual representations for general multiple stopping problems
• On minimax duality in optimal stopping
• Cooperative Stopping Rules in Multivariate Problems
• A pure martingale dual for multiple stopping
• Relationship between least squares Monte Carlo and approximate linear programming
• Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
• Comparison of least squares Monte Carlo methods with applications to energy real options
• Erratum to ``A unified approach to multiple stopping and duality
• Monte Carlo methods via a dual approach for some discrete time stochastic control problems
• A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds

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