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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

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

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

From optimal martingales to randomized dual optimal stopping

Belomestny, Denis; Schoenmakers, John - In: Quantitative finance 23 (2023) 7/8, pp. 1099-1113

Persistent link: https://www.econbiz.de/10014321666

Solving optimal stopping problems via randomization and empirical dual optimization

Belomestny, Denis; Bender, Christian; Schoenmakers, John - In: Mathematics of operations research 48 (2023) 3, pp. 1454-1480

Persistent link: https://www.econbiz.de/10014329294

Representations for optimal stopping under dynamic monetary utility functionals

Krätschmer, Volker; Schoenmakers, John - 2009

In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is payed to representations which allow for a numerical...

Persistent link: https://www.econbiz.de/10003905569