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A pure martingale dual for multiple stopping
Schoenmakers, John - In: Finance and stochastics 16 (2012) 2, pp. 319-334
Persistent link: https://www.econbiz.de/10009544665
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Multilevel dual approach for pricing American style derivates
Belomestny, Denis; Schoenmakers, John; Dickmann, Fabian - In: Finance and stochastics 17 (2013) 4, pp. 717-742
Persistent link: https://www.econbiz.de/10010190883
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Iterative construction of the optimal Bermudan stopping time
Kolodko, Anastasia; Schoenmakers, John - In: Finance and stochastics 10 (2006) 1, pp. 27-49
Persistent link: https://www.econbiz.de/10003234943
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A reproducing kernel Hilbert space approach to singular local stochastic volatility McKean-Vlasov models
Bayer, Christian; Belomestny, Denis; Butkovsky, Oleg; … - In: Finance and stochastics 28 (2024) 4, pp. 1147-1178
Persistent link: https://www.econbiz.de/10015130558
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Iterative construction of the optimal Bermudan stopping time
Kolodko, Anastasia; Schoenmakers, John - In: Finance and stochastics 10 (2006) 1, pp. 27-50
Persistent link: https://www.econbiz.de/10008222878
Cover Image
Multilevel dual approach for pricing American style derivatives
Belomestny, Denis; Schoenmakers, John; Dickmann, Fabian - In: Finance and stochastics 17 (2013) 4, pp. 717-742
Persistent link: https://www.econbiz.de/10010183828
Cover Image
A pure martingale dual for multiple stopping
Schoenmakers, John - In: Finance and stochastics 16 (2012) 2, pp. 319-335
Persistent link: https://www.econbiz.de/10009839744