In this paper we introduce and study the concept of optimal and surely optimal dual martingales in the context of dual valuation of Bermudan options, and outline the development of new algorithms in this context. We provide a characterization theorem, a theorem which gives conditions for a...

In this paper, we study the dual representation for generalized multiple stopping problems, hence the pricing problem of general multiple exercise options. We derive a dual representation which allows for cashflows which are subject to volume constraints modeled by integer valued adapted...