Advanced Simulation-Based Methods for Optimal Stopping and Control
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Abstract
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Suggested Citation
DOI: 10.1057/978-1-137-03351-2
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Citations
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Cited by:
- David A. Goldberg & Yilun Chen, 2018. "Polynomial time algorithm for optimal stopping with fixed accuracy," Papers 1807.02227, arXiv.org, revised May 2024.
- D. Belomestny & M. Kaledin & J. Schoenmakers, 2019. "Semi-tractability of optimal stopping problems via a weighted stochastic mesh algorithm," Papers 1906.09431, arXiv.org.
- Mike Ludkovski, 2020. "mlOSP: Towards a Unified Implementation of Regression Monte Carlo Algorithms," Papers 2012.00729, arXiv.org, revised Oct 2022.
- Denis Belomestny & Tobias Hübner & Volker Krätschmer, 2022. "Solving optimal stopping problems under model uncertainty via empirical dual optimisation," Finance and Stochastics, Springer, vol. 26(3), pages 461-503, July.
- Christian Bayer & Martin Redmann & John Schoenmakers, 2018. "Dynamic programming for optimal stopping via pseudo-regression," Papers 1808.04725, arXiv.org, revised Apr 2019.
- Christian Bayer & Denis Belomestny & Paul Hager & Paolo Pigato & John Schoenmakers, 2020. "Randomized optimal stopping algorithms and their convergence analysis," Papers 2002.00816, arXiv.org.
- Christian Bayer & Ra'ul Tempone & Soren Wolfers, 2018. "Pricing American Options by Exercise Rate Optimization," Papers 1809.07300, arXiv.org, revised Aug 2019.
Book Chapters
The following chapters of this book are listed in IDEAS- Denis Belomestny & John Schoenmakers, 2018. "Introduction," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 1-9, Palgrave Macmillan.
- Denis Belomestny & John Schoenmakers, 2018. "Elementary Monte Carlo Methods," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 13-32, Palgrave Macmillan.
- Denis Belomestny & John Schoenmakers, 2018. "Variance Reduction for SDEs," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 33-53, Palgrave Macmillan.
- Denis Belomestny & John Schoenmakers, 2018. "Multilevel Methods," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 55-75, Palgrave Macmillan.
- Denis Belomestny & John Schoenmakers, 2018. "General Problem Setups," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 79-82, Palgrave Macmillan.
- Denis Belomestny & John Schoenmakers, 2018. "Primal Approximation Methods for Optimal Stopping," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 83-96, Palgrave Macmillan.
- Denis Belomestny & John Schoenmakers, 2018. "Stochastic Policy Iteration Methods," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 97-134, Palgrave Macmillan.
- Denis Belomestny & John Schoenmakers, 2018. "Regression Methods for Markovian Control Problems," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 135-158, Palgrave Macmillan.
- Denis Belomestny & John Schoenmakers, 2018. "Duality for Optimal Stopping," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 161-175, Palgrave Macmillan.
- Denis Belomestny & John Schoenmakers, 2018. "Duality for Multiple Stopping," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 177-187, Palgrave Macmillan.
- Denis Belomestny & John Schoenmakers, 2018. "Dual Methods for General Optimal Control," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 189-199, Palgrave Macmillan.
- Denis Belomestny & John Schoenmakers, 2018. "Dual Monte Carlo Algorithms for Optimal Stopping," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 201-285, Palgrave Macmillan.
- Denis Belomestny & John Schoenmakers, 2018. "Pricing Bermudan Options via Consumption Processes," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 287-311, Palgrave Macmillan.
- Denis Belomestny & John Schoenmakers, 2018. "Dual Monte Carlo Algorithms for Optimal Control," Palgrave Macmillan Books, in: Advanced Simulation-Based Methods for Optimal Stopping and Control, chapter 0, pages 313-334, Palgrave Macmillan.
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