Optimal Stopping Under Uncertainty in Drift and Jump Intensity-Reference-Cited by-同舟云学术

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Optimal Stopping Under Uncertainty in Drift and Jump Intensity

Published:2018-11 Issue:4 Volume:43 Page:1177-1209
ISSN:0364-765X
Container-title:Mathematics of Operations Research
language:en
Short-container-title:Mathematics of OR

Author:

Krätschmer Volker¹,Ladkau Marcel²,Laeven Roger J. A.³^ORCID,Schoenmakers John G. M.²,Stadje Mitja⁴

Affiliation:

1. Faculty of Mathematics, University of Duisburg-Essen, D-45127 Essen, Germany

2. Weierstrass Institute Berlin, Stochastic Algorithms and Nonparametric Statistics, D-10117 Berlin, Germany

3. Department of Quantitative Economics, University of Amsterdam, 1001 NJ Amsterdam, Netherlands

4. Institute of Insurance Science and Institute of Financial Mathematics, Faculty of Mathematics and Economics, Ulm University, D-89069 Ulm, Germany

Publisher

Institute for Operations Research and the Management Sciences (INFORMS)

Subject

Management Science and Operations Research,Computer Science Applications,General Mathematics

Reference95 articles.

1. Primal-Dual Simulation Algorithm for Pricing Multidimensional American Options

2. Coherent Measures of Risk

3. Efficient Analytic Approximation of American Option Values

4. Optimal stopping for non-linear expectations—Part I

5. On the Robust Optimal Stopping Problem

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