Primal–dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps
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Publication:5397436
DOI10.1080/14697688.2013.775476zbMath1281.91178OpenAlexW2140113915MaRDI QIDQ5397436
Sven Balder, Antje Mahayni, John G. M. Schoenmakers
Publication date: 20 February 2014
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.775476
Numerical methods (including Monte Carlo methods) (91G60) Martingales with discrete parameter (60G42) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Primal-Dual Regression Approach for Markov Decision Processes with General State and Action Spaces ⋮ Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes ⋮ DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS
Cites Work
- Dual pricing of multi-exercise options under volume constraints
- A pure martingale dual for multiple stopping
- Iterative construction of the optimal Bermudan stopping time
- TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
- MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
- Monte Carlo valuation of American options
- Valuing American Options by Simulation: A Simple Least-Squares Approach
- Pricing Interest-Rate-Derivative Securities
- An iterative method for multiple stopping: convergence and stability
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