DUAL REPRESENTATIONS FOR GENERAL MULTIPLE STOPPING PROBLEMS
نویسندگان
چکیده
منابع مشابه
Dual representations for general multiple stopping problems
In this paper, we study the dual representation for generalized multiple stopping problems, hence the pricing problem of general multiple exercise options. We derive a dual representation which allows for cashflows which are subject to volume constraints modeled by integer valued adapted processes and refraction periods modeled by stopping times. As such, this extends the works by Schoenmakers ...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2013
ISSN: 0960-1627
DOI: 10.1111/mafi.12030