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From optimal martingales to randomized dual optimal stopping
Belomestny, Denis; Schoenmakers, John - In: Quantitative finance 23 (2023) 7/8, pp. 1099-1113
Persistent link: https://www.econbiz.de/10014321666
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Dynamic programming for optimal stopping via pseudo-regression
Bayer, Christian; Redmann, Martin; Schoenmakers, John - In: Quantitative finance 21 (2021) 1, pp. 29-44
Persistent link: https://www.econbiz.de/10012424631
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Primaldual linear Monte Carlo algorithm for multiple stoppingan application to flexible caps
BALDER, SVEN; MAHAYNI, ANTJE; SCHOENMAKERS, JOHN - In: Quantitative finance 13 (2013) 7, pp. 1003-1013
Persistent link: https://www.econbiz.de/10010141819