Pathwise optimization for optimal stopping problems
Year of publication: |
2012
|
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Authors: | Desai, Vijay V. ; Farias, Vivek F. ; Moallemi, Ciamac C. |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 58.2012, 12, p. 2292-2308
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Subject: | Dynamische Optimierung | Dynamic programming | Suchtheorie | Search theory | Monte-Carlo-Simulation | Monte Carlo simulation | Optionspreistheorie | Option pricing theory |
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