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A pure martingale dual for multiple stopping

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  • John Schoenmakers

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    File URL: http://hdl.handle.net/10.1007/s00780-010-0149-1
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    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 16 (2012)
    Issue (Month): 2 (April)
    Pages: 319-334

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    Handle: RePEc:spr:finsto:v:16:y:2012:i:2:p:319-334

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    Web page: http://www.springerlink.com/content/101164/

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    Related research

    Keywords: Multiple stopping; Dual representations; Multiple callable derivatives; 60G40; 62L15; C61; C63;

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    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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    1. Leif Andersen & Mark Broadie, 2004. "Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options," Management Science, INFORMS, vol. 50(9), pages 1222-1234, September.
    2. Christian Bender, 2011. "Dual pricing of multi-exercise options under volume constraints," Finance and Stochastics, Springer, vol. 15(1), pages 1-26, January.
    3. Anastasia Kolodko & John Schoenmakers, 2006. "Iterative construction of the optimal Bermudan stopping time," Finance and Stochastics, Springer, vol. 10(1), pages 27-49, 01.
    4. Nan Chen & Paul Glasserman, 2007. "Additive and multiplicative duals for American option pricing," Finance and Stochastics, Springer, vol. 11(2), pages 153-179, April.
    5. René Carmona & Nizar Touzi, 2008. "Optimal Multiple Stopping And Valuation Of Swing Options," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 239-268.
    6. Patrick Jaillet & Ehud I. Ronn & Stathis Tompaidis, 2004. "Valuation of Commodity-Based Swing Options," Management Science, INFORMS, vol. 50(7), pages 909-921, July.
    7. Denis Belomestny & Grigori Milstein & Vladimir Spokoiny, 2009. "Regression methods in pricing American and Bermudan options using consumption processes," Quantitative Finance, Taylor and Francis Journals, vol. 9(3), pages 315-327.
    8. L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286.
    9. Denis Belomestny & Christian Bender & John Schoenmakers, 2009. "True Upper Bounds For Bermudan Products Via Non-Nested Monte Carlo," Mathematical Finance, Wiley Blackwell, vol. 19(1), pages 53-71.
    10. Christian Bender & Anastasia Kolodko & John Schoenmakers, 2008. "Enhanced policy iteration for American options via scenario selection," Quantitative Finance, Taylor and Francis Journals, vol. 8(2), pages 135-146.
    11. Denis Belomestny & Grigori N. Milstein, 2006. "Monte Carlo Evaluation Of American Options Using Consumption Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(04), pages 455-481.
    12. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," University of California at Los Angeles, Anderson Graduate School of Management qt43n1k4jb, Anderson Graduate School of Management, UCLA.
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