Optimal stopping under uncertainty in drift and jump intensity
Year of publication: |
November 2018
|
---|---|
Authors: | Krätschmer, Volker ; Ladkau, Marcel ; Laeven, Roger J. A. ; Schoenmakers, John ; Stadje, Mitja |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 43.2018, 4, p. 1177-1209
|
Subject: | optimal stopping | model uncertainty | robustness | convex risk measures | ambiguity aversion | duality | BSDEs | Monte Carlo simulation | regression | relative entropy | Risiko | Risk | Suchtheorie | Search theory | Entscheidung unter Unsicherheit | Decision under uncertainty | Monte-Carlo-Simulation | Entropie | Entropy | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Robustes Verfahren | Robust statistics | Risikoaversion | Risk aversion | Risikomaß | Risk measure |
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