From optimal martingales to randomized dual optimal stopping

DOI10.1080/14697688.2023.2223242zbMath1522.91309arXiv2102.01533OpenAlexW3133771251MaRDI QIDQ6053122

John G. M. Schoenmakers, Denis Belomestny

Publication date: 25 September 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.01533

zbMATH Keywords

randomizationoptimal stopping problemDoob-martingale

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales and classical analysis (60G46)

Cites Work

• Unnamed Item
• Solving optimal stopping problems via empirical dual optimization
• Optimal stopping via pathwise dual empirical maximisation
• Iterative construction of the optimal Bermudan stopping time
• Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products
• TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON‐NESTED MONTE CARLO
• Pricing American Options: A Duality Approach
• Monte Carlo valuation of American options
• Solving Optimal Stopping Problems via Randomization and Empirical Dual Optimization

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