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A pure martingale dual for multiple stopping

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  • John Schoenmakers

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  • John Schoenmakers, 2012. "A pure martingale dual for multiple stopping," Finance and Stochastics, Springer, vol. 16(2), pages 319-334, April.
    • Handle: RePEc:spr:finsto:v:16:y:2012:i:2:p:319-334
    DOI: 10.1007/s00780-010-0149-1
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    References listed on IDEAS

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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. Longstaff, Francis A & Schwartz, Eduardo S, 2001. "Valuing American Options by Simulation: A Simple Least-Squares Approach," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 113-147.
    3. Christian Bender, 2011. "Dual pricing of multi-exercise options under volume constraints," Finance and Stochastics, Springer, vol. 15(1), pages 1-26, January.
    4. Christian Bender & Anastasia Kolodko & John Schoenmakers, 2008. "Enhanced policy iteration for American options via scenario selection," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 135-146.
    5. Nan Chen & Paul Glasserman, 2007. "Additive and multiplicative duals for American option pricing," Finance and Stochastics, Springer, vol. 11(2), pages 153-179, April.
    6. Denis Belomestny & Grigori Milstein & Vladimir Spokoiny, 2009. "Regression methods in pricing American and Bermudan options using consumption processes," Quantitative Finance, Taylor & Francis Journals, vol. 9(3), pages 315-327.
    7. René Carmona & Nizar Touzi, 2008. "Optimal Multiple Stopping And Valuation Of Swing Options," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 239-268, April.
    8. Patrick Jaillet & Ehud I. Ronn & Stathis Tompaidis, 2004. "Valuation of Commodity-Based Swing Options," Management Science, INFORMS, vol. 50(7), pages 909-921, July.
    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, January.
    10. 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.
    11. Kolodko A. & Schoenmakers J., 2004. "Upper Bounds for Bermudan Style Derivatives," Monte Carlo Methods and Applications, De Gruyter, vol. 10(3-4), pages 331-343, December.
    12. Martin B. Haugh & Leonid Kogan, 2004. "Pricing American Options: A Duality Approach," Operations Research, INFORMS, vol. 52(2), pages 258-270, April.
    13. Anastasia Kolodko & John Schoenmakers, 2006. "Iterative construction of the optimal Bermudan stopping time," Finance and Stochastics, Springer, vol. 10(1), pages 27-49, January.
    14. N. Meinshausen & B. M. Hambly, 2004. "Monte Carlo Methods For The Valuation Of Multiple‐Exercise Options," Mathematical Finance, Wiley Blackwell, vol. 14(4), pages 557-583, October.
    15. L. C. G. Rogers, 2002. "Monte Carlo valuation of American options," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 271-286, July.
    16. 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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    Citations

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    Cited by:

    1. Juri Hinz & Jeremy Yee, 2017. "An Algorithmic Approach to Optimal Asset Liquidation Problems," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(2), pages 109-129, June.
    2. John Ery & Loris Michel, 2021. "Solving optimal stopping problems with Deep Q-Learning," Papers 2101.09682, arXiv.org.
    3. David A. Goldberg & Yilun Chen, 2018. "Beating the curse of dimensionality in options pricing and optimal stopping," Papers 1807.02227, arXiv.org, revised Aug 2018.
    4. Christian Bender & Nikolai Dokuchaev, 2013. "A First-Order BSPDE for Swing Option Pricing," Papers 1305.3988, arXiv.org.
    5. Nicholas Andrew Yap Swee Guan, 2015. "Regression and Convex Switching System Methods for Stochastic Control Problems with Applications to Multiple-Exercise Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2015.
    6. Nicolas Essis-Breton & Patrice Gaillardetz, 2020. "Fast Lower and Upper Estimates for the Price of Constrained Multiple Exercise American Options by Single Pass Lookahead Search and Nearest-Neighbor Martingale," Papers 2002.11258, arXiv.org.
    7. Jain, Shashi & Roelofs, Ferry & Oosterlee, Cornelis W., 2013. "Valuing modular nuclear power plants in finite time decision horizon," Energy Economics, Elsevier, vol. 36(C), pages 625-636.
    8. Christian Bender & Christian Gärtner & Nikolaus Schweizer, 2018. "Pathwise Dynamic Programming," Mathematics of Operations Research, INFORMS, vol. 43(3), pages 965-965, August.
    9. Nicholas Andrew Yap Swee Guan, 2015. "Regression and Convex Switching System Methods for Stochastic Control Problems with Applications to Multiple-Exercise Options," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 26, July-Dece.

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    More about this item

    Keywords

    Multiple stopping; Dual representations; Multiple callable derivatives; 60G40; 62L15; C61; C63;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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