A unified approach to multiple stopping and duality
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Publication:453044
DOI10.1016/J.ORL.2012.03.009zbMATH Open1263.60036OpenAlexW1973303403MaRDI QIDQ453044FDOQ453044
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
Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic programming (90C39) Stochastic programming (90C15) Stopping times; optimal stopping problems; gambling theory (60G40)
Cites Work
- Monte Carlo valuation of American options
- Information Relaxations and Duality in Stochastic Dynamic Programs
- Pathwise Stochastic Optimal Control
- Additive and multiplicative duals for American option pricing
- Pricing American Options: A Duality Approach
- Valuation of Commodity-Based Swing Options
- Linear-quadratic control and information relaxations
- The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- Dual pricing of multi-exercise options under volume constraints
- DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS
- Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
- A dual approach to multiple exercise option problems under constraints
Cited In (8)
- Relationship between least squares Monte Carlo and approximate linear programming
- Comparison of least squares Monte Carlo methods with applications to energy real options
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems
- Erratum to ``A unified approach to multiple stopping and duality
- Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes
- A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds
- Cooperative Stopping Rules in Multivariate Problems
- Pathwise Dynamic Programming
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