Dual pricing of multi-exercise options under volume constraints
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Publication:483695
DOI10.1007/s00780-010-0134-8zbMath1303.91167OpenAlexW1972337987MaRDI QIDQ483695
Publication date: 17 December 2014
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-010-0134-8
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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