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 decomposition; option pricing; duality; Monte Carlo methods; swing options; multiple exercise options
65C05: Monte Carlo methods
60G40: Stopping times; optimal stopping problems; gambling theory
60G44: Martingales with continuous parameter
91G20: Derivative securities (option pricing, hedging, etc.)
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