Optimal stopping under uncertainty in drift and jump intensity
Volker Krätschmer, Marcel Ladkau, Roger J. A. Laeven, John G. M. Schoenmakers, Mitja Stadje
| Year of publication: |
November 2018
|
|---|---|
| Authors: | Krätschmer, Volker ; Ladkau, Marcel ; Laeven, Roger J. A. ; Schoenmakers, John ; Stadje, Mitja |
| Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 43.2018, 4, p. 1177-1209
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| Subject: | optimal stopping | model uncertainty | robustness | convex risk measures | ambiguity aversion | duality | BSDEs | Monte Carlo simulation | regression | relative entropy | Risiko | Risk | Monte-Carlo-Simulation | Suchtheorie | Search theory | Entscheidung unter Unsicherheit | Decision under uncertainty | Optionspreistheorie | Option pricing theory | Entropie | Entropy | Risikoaversion | Risk aversion | Stochastischer Prozess | Stochastic process | Robustes Verfahren | Robust statistics | Risikomaß | Risk measure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/moor.2017.0899 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011956978