A unified approach to multiple stopping and duality

DOI10.1016/j.orl.2012.03.009zbMath1263.60036MaRDI QIDQ453044

Martin B. Haugh, Shyam Sundar 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

duality; multiple stopping; swing options

Mathematics Subject Classification ID

90C15: Stochastic programming

90C39: Dynamic programming

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

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