Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
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Publication:5388676
DOI10.1137/09077076XzbMath1270.91090MaRDI QIDQ5388676
Publication date: 19 April 2012
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Doob-Meyer decompositionoption pricingdualityMonte Carlo methodsswing optionsmultiple exercise options
Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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