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Optimal stopping under uncertainty in drift and jump intensity
Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; … - In: Mathematics of operations research 43 (2018) 4, pp. 1177-1209
Persistent link: https://www.econbiz.de/10011956978
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Optimal stopping under probability distortions
Belomestny, Denis; Krätschmer, Volker - In: Mathematics of operations research 42 (2017) 3, pp. 806-833
Persistent link: https://www.econbiz.de/10011742531
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Minimax theorems for American options without time-consistency
Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker; … - In: Finance and stochastics 23 (2019) 1, pp. 209-238
Persistent link: https://www.econbiz.de/10012023712
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Solving optimal stopping problems under model uncertainty via empirical dual optimisation
Belomestny, Denis; Hübner, Tobias; Krätschmer, Volker - In: Finance and stochastics 26 (2022) 3, pp. 461-503
Persistent link: https://www.econbiz.de/10013440233