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Representations for Optimal Stopping under Dynamic Monetary Utility Functionals
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Representations for Optimal Stopping under Dynamic Monetary Utility Functionals (2010)Representations for Optimal Stopping unde…Optimal Stopping With Multiple Priors (2009)Optimal Stopping With Multipl…Modern Actuarial Risk Theory (2008)Modern Actuarial Risk TheoryThe Structure of m–Stable Sets and in Particular of the Set of Risk Neutral Measures (2006)The Structure of m–Stable Set…Risk measures via -expectations (2006)Risk measures via -expectatio…Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Dynamic Monetary Risk Measure…DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY (2006)DISTRIBUTION‐INVARIANT RISK M…Coherent multiperiod risk adjusted values and Bellman’s principle (2006)Coherent multiperiod risk adj…Conditional and dynamic convex risk measures (2005)Conditional and dynamic conve…Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options (2004)Primal-Dual Simulation Algori…Pricing American Options: A Duality Approach (2004)Pricing American Options: A D…A stochastic mesh method for pricing high-dimensional American options (2004)A stochastic mesh method for …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…Coherent Measures of Risk (1999)Coherent Measures of RiskBackward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Numerical Methods in Economics (1998)Monte Carlo Methods in Financial Engineering (2003)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Lectures on Stochastic Programming (2009)Maxmin expected utility with non-unique prior (1989)Convex measures of risk and trading constraints (2002)Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Pricing American-style securities using simulation (1997)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)New frontiers for arch models (2002)Options: A Monte Carlo approach (1977)Option pricing: A simplified approach (1979)Information Relaxations and Duality in Stochastic Dynamic Programs (2010)Martingales and arbitrage in multiperiod securities markets (1979)Learning to trade via direct reinforcement (2001)Optimization under uncertainty: state-of-the-art and opportunities (2003)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Brownian Motion and Stochastic Calculus (2007)Partial Differential Equations (2010)Dynamic Asset Pricing Theory. (1993)The concept of comonotonicity in actuarial science and finance: applications (2002)Risk measures and comonotonicity (2006)Risk Measures and Comonotonicity: A Review (2006)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,228 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2008Modern Actuarial Risk Theory661 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 2004Pricing American Options: A Duality Approach459 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 2006Coherent multiperiod risk adjusted values and Bellman’s principle409 cited
  • 2004A stochastic mesh method for pricing high-dimensional American options356 cited
  • 2005Conditional and dynamic convex risk measures356 cited
  • 2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes340 cited
  • 2006Risk measures via -expectations289 cited
  • 2006DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY227 cited
  • 2006The Structure of m–Stable Sets and in Particular of the Set of Risk Neutral Measures195 cited
  • 2009

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Optimal Stopping With Multiple Priors
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