Pages that link to "Item:Q483695"
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The following pages link to Dual pricing of multi-exercise options under volume constraints (Q483695):
Displaying 24 items.
- A unified approach to multiple stopping and duality (Q453044) (← links)
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options (Q631202) (← links)
- An algorithmic approach to optimal asset liquidation problems (Q1627810) (← links)
- An optimal multiple stopping approach to infrastructure investment decisions (Q1657596) (← links)
- A pure martingale dual for multiple stopping (Q1761446) (← links)
- Optimal oil production and the world supply of oil (Q1994257) (← links)
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems (Q2264108) (← links)
- Valuation of swing options under a regime-switching mean-reverting model (Q2298579) (← links)
- Resolvent-techniques for multiple exercise problems (Q2340991) (← links)
- Optimal Multiple Stopping with Random Waiting Times (Q2854356) (← links)
- PORTFOLIOS OF AMERICAN OPTIONS UNDER GENERAL PREFERENCES: RESULTS AND COUNTEREXAMPLES (Q2875728) (← links)
- Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models (Q2942281) (← links)
- AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING (Q2947345) (← links)
- A General Optimal Multiple Stopping Problem with an Application to Swing Options (Q3448337) (← links)
- Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes (Q4619493) (← links)
- CONTINUOUSLY CONTROLLED OPTIONS: DERIVATIVES WITH ADDED FLEXIBILITY (Q4916240) (← links)
- Evaluation of gas sales agreements with indexation using tree and least-squares Monte Carlo methods on graphics processing units (Q4991090) (← links)
- SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION (Q5210912) (← links)
- On the Optimal Exercise Boundaries of Swing Put Options (Q5219294) (← links)
- DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS (Q5247424) (← links)
- A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS (Q5283407) (← links)
- First Order BSPDEs in Higher Dimension for Optimal Control Problems (Q5347542) (← links)
- Primal–dual linear Monte Carlo algorithm for multiple stopping—an application to flexible caps (Q5397436) (← links)
- A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING (Q5739185) (← links)
