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Solving high-dimensional optimal stopping problems using optimization based model order reduction

Redmann, Martin - In: Applied mathematical finance 29 (2022) 2, pp. 110-140

Persistent link: https://www.econbiz.de/10013554791

A nonparametric algorithm for optimal stopping based on robust optimization

Sturt, Bradley - In: Operations research 71 (2023) 5, pp. 1530-1557

Persistent link: https://www.econbiz.de/10014393150

A method for pricing American options using semi-infinite linear programming

Christensen, Sören - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 156-172

Persistent link: https://www.econbiz.de/10010256174

American option sensitivities estimation via a generalized infinitesimal perturbation analysis approach

Chen, Nan; Liu, Yanchu - In: Operations research 62 (2014) 3, pp. 616-632

Persistent link: https://www.econbiz.de/10010381847

Optimal entry to an irreversible investment plan with non convex costs

De Angelis, Tiziano; Ferrari, Giorgio; Martyr, Randall; … - In: Mathematics and financial economics 11 (2017) 4, pp. 423-454

Persistent link: https://www.econbiz.de/10011900577

Optimal boundary surface for irreversible investment with stochastic costs

De Angelis, Tiziano; Federico, Salvatore; Ferrari, Giorgio - In: Mathematics of operations research 42 (2017) 4, pp. 1135-1161

Persistent link: https://www.econbiz.de/10011773311

Optimal entry to an irreversible investment plan with non convex costs

De Angelis, Tiziano; Ferrari, Giorgio; Martyr, Randall; … - 2016

A problem of optimally purchasing electricity at a real-valued spot price (that is, with potentially negative cost) has been recently addressed in De Angelis, Ferrari and Moriarty (2015) [SIAM J. Control Optim. 53(3)]. This problem can be considered one of irreversible investment with a cost...

Persistent link: https://www.econbiz.de/10011517478

Smooth upper bounds for the price function of American style options

Bhim, Louis; Kawai, Reiichiro - In: International journal of theoretical and applied finance 21 (2018) 1, pp. 1-38

Persistent link: https://www.econbiz.de/10011845920

Stochastic volatility Libor modeling and efficient algorithms for optimal stopping problems

Ladkau, Marcel - 2015

Persistent link: https://www.econbiz.de/10012385011

Interpretable optimal stopping

Ciocan, Dragos Florin; Misic, Velibor V. - 2020 - Revised version of 2018/48/TOM

Persistent link: https://www.econbiz.de/10012161461