DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS
From MaRDI portal
Publication:5247424
DOI10.1111/mafi.12030zbMath1318.91189arXiv1112.2638MaRDI QIDQ5247424
Christian Bender, Jianing Zhang, John G. M. Schoenmakers
Publication date: 24 April 2015
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1112.2638
Monte Carlo algorithm; volume constraints; dual representations; multiple exercise options; general multiple stopping problem; refraction period
91G60: Numerical methods (including Monte Carlo methods)
60G42: Martingales with discrete parameter
91B24: Microeconomic theory (price theory and economic markets)
60G40: Stopping times; optimal stopping problems; gambling theory
91G20: Derivative securities (option pricing, hedging, etc.)
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