SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal multiple stopping time problem
4 references·5 citing·35 second hop
Optimal multiple stopping time problem (2011)Optimal multiple stopping time problemOptimal Multiple Stopping of Linear Diffusions (2008)Optimal Multiple Stopping of …OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS (2008)OPTIMAL MULTIPLE STOPPING AND…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Les Aspects Probabilistes Du Controle Stochastique (1981)Les Aspects Probabilistes Du …Sourcing for online marketplaces with demand and price uncertainty (2023)Sourcing for online marketpla…Dynamic Programming Equation for the Mean Field Optimal Stopping Problem (2023)Dynamic Programming Equation …Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints (2016)Optimal Skorokhod Embedding U…Quickest search over multiple sequences with mixed observations (2013)Quickest search over multiple…DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS (2013)DUAL REPRESENTATIONS FOR GENE…Stochastic Differential Equations (1972)Calcul Stochastique et Problèmes de Martingales (1979)On the pricing of American options (1988)Variational inequalities and the pricing of American options (1990)Backward stochastic differential equations with reflection and Dynkin games (1996)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Brownian Motion and Stochastic Calculus (2007)On the One-Dimensional Optimal Switching Problem (2010)Optimal quantization for the pricing of swing options (2012)Optimal execution of portfolio transactions (2001)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Electricity Prices and Power Derivatives: Evidence from the Nordic Power Exchange (2002)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Modelling spikes and pricing swing options in electricity markets (2009)Dual pricing of multi-exercise options under volume constraints (2010)Introduction to Stochastic Calculus Applied to Finance (2011)A Survey of Commodity Markets and Structural Models for Electricity Prices (2013)Quickest Detection (2008)Optimal multiple stopping time problem (2009)Quickest Search Over Multiple Sequences (2011)Active hypothesis testing on a tree: Anomaly detection under hierarchical observations (2017)Sequential Anomaly Detection Under a Nonlinear System Cost (2019)Sketching for sequential change-point detection (2019)Robust hedging of the lookback option (1998)The Skorokhod embedding problem and its offspring (2004)MODEL-INDEPENDENT BOUNDS FOR OPTION PRICES: A MASS TRANSPORT APPROACH (2016)Brownian Motion and Stochastic Calculus. (1989)Optimization of conditional value-at-risk (2000)Probabilistic Theory of Mean Field Games with Applications I (2018)The Value of Waiting to Invest (1982)Building Effective Online Marketplaces with Institution-Based Trust (2004)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)
this work references cited by second hop

References

  • 1998Methods of Mathematical Finance1,939 cited
  • 1981Les Aspects Probabilistes Du Controle Stochastique448 cited
  • 2008OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS191 cited
  • 2008Optimal Multiple Stopping of Linear Diffusions69 cited

Cited by

  • 2016Optimal Skorokhod Embedding Under Finitely Many Marginal Constraints31 cited
  • 2013DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS26 cited
  • 2023Dynamic Programming Equation for the Mean Field Optimal Stopping Problem24 cited
  • 2023Sourcing for online marketplaces with demand and price uncertainty21 cited
  • 2013Quickest search over multiple sequences with mixed observations15 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work