An iterative method for multiple stopping: convergence and stability

DOI10.1239/aap/1158684999zbMath1114.60033MaRDI QIDQ5395357

Christian Bender, John G. M. Schoenmakers

Publication date: 2 November 2006

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1158684999

zbMATH Keywords

optimal stopping; multiple stopping; Snell envelope; policy improvement; multiple callable financial derivative

Mathematics Subject Classification ID

60G40: Stopping times; optimal stopping problems; gambling theory

91G20: Derivative securities (option pricing, hedging, etc.)

62L15: Optimal stopping in statistics