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Iterative construction of the optimal Bermudan stopping time · Study

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ArticleIterative construction of the optimal Bermudan stopping time

Anastasia Kolodko2005

Article2005

Iterative construction of the optimal Bermudan stopping time

Anastasia Kolodko · John G. M. Schoenmakers

74 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Capital Investment and Risk Analysis Risk and Portfolio Optimization

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References

2003Monte Carlo Methods in Financial Engineering 2001Valuing American Options by Simulation: A Simple Least-Squares Approach 1993Dynamic Asset Pricing Theory.1997LIBOR and swap market models and measures 2002Monte Carlo valuation of American options 2004Pricing American Options: A Duality Approach 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options 2004A stochastic mesh method for pricing high-dimensional American options

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2020Pricing and Hedging American-Style Options with Deep Learning 2007Additive and multiplicative duals for American option pricing 2010Regression Methods for Stochastic Control Problems and Their Convergence Analysis 2007The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope 2013Multilevel dual approach for pricing American style derivatives 2006An iterative method for multiple stopping: convergence and stability

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Year2005

Typearticle

Published2005-12-09

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations74

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00780-005-0168-5

openalex_workW2017684264

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2010A pure martingale dual for multiple stopping

2013Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products