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Interpretable Optimal Stopping
12 references·5 citing·33 second hop
Interpretable Optimal Stopping (2018)Interpretable Optimal StoppingPathwise Optimization for Optimal Stopping Problems (2012)Pathwise Optimization for Opt…Information Relaxations and Duality in Stochastic Dynamic Programs (2010)Information Relaxations and D…Relaxations of Weakly Coupled Stochastic Dynamic Programs (2008)Relaxations of Weakly Coupled…Additive and multiplicative duals for American option pricing (2007)Additive and multiplicative d…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…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…Pricing American-style securities using simulation (1997)Pricing American-style securi…Valuation of the early-exercise price for options using simulations and nonparametric regression (1996)Valuation of the early-exerci…Option pricing: A simplified approach (1979)Option pricing: A simplified …Modeling Generative AI and Social Entrepreneurial Searches: A Contextualized Optimal Stopping Approach (2025)Modeling Generative AI and So…Flow-through tensors: A unified computational graph architecture for multi-layer transportation network optimization (2025)Flow-through tensors: A unifi…Deep stochastic optimization in finance (2022)Deep stochastic optimization …Big data driven order-up-to level model: Application of machine learning (2021)Big data driven order-up-to l…Applied Machine Learning in Operations Management (2021)Applied Machine Learning in O…Simulation Modeling and Analysis. (1983)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Measuring Market Risk (2005)Restless bandits: activity allocation in a changing world (1988)An Analysis of Bid-Price Controls for Network Revenue Management (1998)The Complexity of Optimal Queuing Network Control (1999)A Learning Approach for Interactive Marketing to a Customer Segment (2007)Multi-UAV dynamic routing with partial observations using restless bandit allocation indices (2008)Approximation algorithms for restless bandit problems (2010)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)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)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Monte Carlo Methods in Financial Engineering (2003)Lectures on Stochastic Programming: Modeling and Theory (2009)An Approximate Dynamic Programming Approach to Benchmark Practice-Based Heuristics for Natural Gas Storage Valuation (2010)Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds (2011)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)A stochastic mesh method for pricing high-dimensional American options (2004)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
this work references cited by second hop

References

  • 1979Option pricing: A simplified approach6,103 cited
  • 2001Valuing American Options by Simulation: A Simple Least-Squares Approach3,218 cited
  • 1997Pricing American-style securities using simulation614 cited
  • 2001Regression methods for pricing complex American-style options612 cited
  • 2002Monte Carlo valuation of American options554 cited
  • 1996Valuation of the early-exercise price for options using simulations and nonparametric regression517 cited
  • 2004Pricing American Options: A Duality Approach452 cited
  • 2004Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options420 cited
  • 2010Information Relaxations and Duality in Stochastic Dynamic Programs225 cited
  • 2008Relaxations of Weakly Coupled Stochastic Dynamic Programs197 cited
  • 2012Pathwise Optimization for Optimal Stopping Problems87 cited
  • 2007Additive and multiplicative duals for American option pricing66 cited

Cited by

  • 2021Big data driven order-up-to level model: Application of machine learning30 cited
  • 2021Applied Machine Learning in Operations Management28 cited
  • 2022Deep stochastic optimization in finance

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26 cited
  • 2025Modeling Generative AI and Social Entrepreneurial Searches: A Contextualized Optimal Stopping Approach5 cited
  • 2025Flow-through tensors: A unified computational graph architecture for multi-layer transportation network optimization3 cited