Resolvent-Techniques for Multiple Exercise Problems
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Control and Optimization
Link
http://link.springer.com/content/pdf/10.1007/s00245-014-9254-4.pdf
Reference42 articles.
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4. Beibel, M., Lerche, H.R.: A note on optimal stopping of regular diffusions under random discounting. Teor. Veroyatnost. i Primenen. 45(4), 657–669 (2000)
5. Bender, C.: Primal and dual pricing of multiple exercise options in continuous time. SIAM J. Financial Math. 2(1), 562–586 (2011)
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