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Dual pricing of multi-exercise options under volume constraints
Bender, Christian - In: Finance and stochastics 15 (2011) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10008824146
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On q-optimal martingale measures in exponential Lévy models
Bender, Christian; Niethammer, Christina R. - In: Finance and stochastics 12 (2008) 3, pp. 381-410
Persistent link: https://www.econbiz.de/10003899201
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A primal-dual algorithm for BSDES
Bender, Christian; Schweizer, Nikolaus; Zhuo, Jia - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 866-901
Persistent link: https://www.econbiz.de/10011764983
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Solving optimal stopping problems via randomization and empirical dual optimization
Belomestny, Denis; Bender, Christian; Schoenmakers, John - In: Mathematics of operations research 48 (2023) 3, pp. 1454-1480
Persistent link: https://www.econbiz.de/10014329294