scientific article; zbMATH DE number 934464
From MaRDI portal
Publication:4895161
zbMATH Open0855.60041MaRDI QIDQ4895161FDOQ4895161
Authors: Mark H. A. Davis, Ioannis Karatzas 
Publication date: 19 November 1996
Title of this publication is not available (Why is that?)
Recommendations
Cited In (41)
- OPTIMAL STOPPING FOR THE LAST EXIT TIME
- On the Compensator in the Doob--Meyer Decomposition of the Snell Envelope
- The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope
- Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
- Title not available (Why is that?)
- Discrete Time Approximations of Continuous Time Finite Horizon Stopping Problems
- Backward stochastic differential equations with reflection and Dynkin games
- Order Now, Pickup in 30 Minutes: Managing Queues with Static Delivery Guarantees
- Generic improvements to least squares Monte Carlo methods with applications to optimal stopping problems
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems
- Lagrangean Methods and Optimal Stopping
- Title not available (Why is that?)
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Optimal stopping and the sufficiency of randomized threshold strategies
- A new learning algorithm for optimal stopping
- A pure martingale dual for multiple stopping
- On a discretization procedure for the stopping time problem
- Are American options European after all?
- Effective sub-simulation-free upper bounds for the Monte Carlo pricing of callable derivatives and various improvements to existing methodologies
- Multilevel Simulation Based Policy Iteration for Optimal Stopping--Convergence and Complexity
- Title not available (Why is that?)
- Dual pricing of multi-exercise options under volume constraints
- Optimal Stopping Under Probability Distortions
- A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds
- Optimal stopping via pathwise dual empirical maximisation
- Optimal Stopping Under Uncertainty in Drift and Jump Intensity
- Stochastic control with rough paths
- Dual Pricing of American Options by Wiener Chaos Expansion
- Analysing the bias in the primal-dual upper bound method for early exercisable derivatives: bounds, estimation and removal
- Numerical solutions to dynamic portfolio problems with upper bounds
- Title not available (Why is that?)
- Linear-quadratic control and information relaxations
- A Trajectorial Approach to the Gradient Flow Properties of Langevin--Smoluchowski Diffusions
- From optimal martingales to randomized dual optimal stopping
- High-dimensional portfolio optimization with transaction costs
- Solving high-dimensional optimal stopping problems using deep learning
- What Next?
- Behaviorally consistent optimal stopping rules
- Multilevel dual approach for pricing American style derivatives
- LEAST SQUARES MONTE CARLO CREDIT VALUE ADJUSTMENT WITH SMALL AND UNIDIRECTIONAL BIAS
- Deep optimal stopping
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4895161)
