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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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True upper bounds for Bermudan products via non-nested Monte Carlo
Belomestny, Denis; Bender, Christian; Schoenmakers, John - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 53-71
Persistent link: https://www.econbiz.de/10003818229
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Least-squares Monte Carlo for backward SDEs
Bender, Christian; Steiner, Jessica - In: Numerical methods in finance : Bordeaux, June 2010, (pp. 257-289). 2012
Persistent link: https://www.econbiz.de/10009577192
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Optimal superhedging under non-convex constraints : a BSDE approach
Bender, Christian; Kohlmann, Michael - In: International journal of theoretical and applied finance 11 (2008) 4, pp. 363-380
Persistent link: https://www.econbiz.de/10003746670
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Pathwise dynamic programming
Bender, Christian; Gärtner, Christian; Schweizer, Nikolaus - In: Mathematics of operations research 43 (2018) 3, pp. 965-995
Persistent link: https://www.econbiz.de/10011914390
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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