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A unified approach to multiple stopping and duality
16 references·0 citing·36 second hop
A unified approach to multiple stopping and duality (2012)A unified approach to multiple stopping a…Pathwise Optimization for Optimal Stopping Problems (2012)Pathwise Optimization for Opt…Primal and Dual Pricing of Multiple Exercise Options in Continuous Time (2011)Primal and Dual Pricing of Mu…Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds (2011)Dynamic Portfolio Optimizatio…Information Relaxations and Duality in Stochastic Dynamic Programs (2010)Information Relaxations and D…Dual pricing of multi-exercise options under volume constraints (2010)Dual pricing of multi-exercis…The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope (2007)The duality of optimal exerci…Pathwise Stochastic Optimal Control (2007)Pathwise Stochastic Optimal C…Additive and multiplicative duals for American option pricing (2007)Additive and multiplicative d…Valuation of Commodity-Based Swing Options (2004)Valuation of Commodity-Based …Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…Pricing of Electricity Swing Options (2004)Pricing of Electricity Swing …Pricing American Options: A Duality Approach (2004)Pricing American Options: A D…Monte Carlo methods for the valuation of multiple exercise options (2003)Monte Carlo methods for the v…Monte Carlo valuation of American options (2002)Monte Carlo valuation of Amer…Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Valuing American Options by S…Regression methods for pricing complex American-style options (2001)Regression methods for pricin…Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Least-Squares Monte Carlo for Backward SDEs (2012)Multilevel Monte Carlo Approximation of Distribution Functions and Densities (2015)Pricing American-style securities using simulation (1997)A stochastic mesh method for pricing high-dimensional American options (2004)Stochastic Convenience Yield and the Pricing of Oil Contingent Claims (1990)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)Short-Term Variations and Long-Term Dynamics in Commodity Prices (2000)Valuing Simple Multiple-Exercise Real Options in Infrastructure Projects (2007)OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008)Valuation of energy storage: an optimal switching approach (2009)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)New frontiers for arch models (2002)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)Options: A Monte Carlo approach (1977)Option pricing: A simplified approach (1979)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Monte Carlo Methods in Financial Engineering (2003)Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (2018)Markowitz Mean-Variance Portfolio Optimization with Predictive Stock Selection Using Machine Learning (2022)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Lectures on Stochastic Programming: Modeling and Theory (2009)An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation (2010)Solution and Estimation Methods for DSGE Models (2016)Martingales and arbitrage in multiperiod securities markets (1979)An analysis of a least squares regression method for American option pricing (2002)Dynamic Asset Pricing Theory. (1993)Markov Perfect Industry Dynamics with Many Firms (2005)Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model (1992)Interest Rate Models Theory and Practice (2001)Gas Storage Valuation Using a Monte Carlo Method (2008)Modelling spikes and pricing swing options in electricity markets (2009)
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References

  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 2004Pricing American Options: A Duality Approach452 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 2004Valuation of Commodity-Based Swing Options276 cited
  • 2010Information Relaxations and Duality in Stochastic Dynamic Programs225 cited
  • 2011Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds169 cited
  • 2003Monte Carlo methods for the valuation of multiple exercise options141 cited
  • 2010Dual pricing of multi-exercise options under volume constraints104 cited
  • 2007Pathwise Stochastic Optimal Control101 cited
  • 2012Pathwise Optimization for Optimal Stopping Problems87 cited
  • 2004Pricing of Electricity Swing Options67 cited
  • 2007Additive and multiplicative duals for American option pricing66 cited
  • 2007The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope51 cited

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  • 2011Primal and Dual Pricing of Multiple Exercise Options in Continuous Time45 cited
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