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ArticleA unified approach to multiple stopping and duality

Shyam S. Chandramouli2012

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Articlegreen2012

A unified approach to multiple stopping and duality

Shyam S. Chandramouli · Martin B. Haugh

20 citations·0/0 files stored·Operations Research Letters

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Stochastic processes and financial applications Risk and Portfolio Optimization Optimization and Search Problems

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References

2001Valuing American Options by Simulation: A Simple Least-Squares Approach 2001Regression methods for pricing complex American-style options 2002Monte Carlo valuation of American options 2004Pricing American Options: A Duality Approach 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options 2004Valuation of Commodity-Based Swing Options 2010Information Relaxations and Duality in Stochastic Dynamic Programs 2011Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds

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Details

Year2012

Typearticle

Published2012-03-23

VenueOperations Research Letters

ISSN-L0167-6377

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.orl.2012.03.009

openalex_workW1973303403

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