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Quantitative Finance Volume 19, 2019 - Issue 3
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Research Papers

Implied stopping rules for American basket options from Markovian projection

Christian BayerWeierstrass Institute for Applied Analysis and Stochastics, Berlin, Germany
,
Juho HäppöläKing Abdullah University for Science and Technology, Thuwal, Kingdom of Saudi ArabiaCorrespondence[email protected] [email protected]
&
Raúl TemponeKing Abdullah University for Science and Technology, Thuwal, Kingdom of Saudi Arabia
Pages 371-390 | Received 21 Jan 2018, Accepted 11 May 2018, Published online: 01 Aug 2018

Citations (8)

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Read on this site (1)

Martin Redmann. (2022) Solving High-Dimensional Optimal Stopping Problems Using Optimization Based Model Order Reduction. Applied Mathematical Finance 29:2, pages 110-140.
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Articles from other publishers (7)

Bradley Sturt. (2023) A Nonparametric Algorithm for Optimal Stopping Based on Robust Optimization. Operations Research.
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Yue Liu, Lixin Tian, Huaping Sun, Linwang Yuan & Xiling Zhang. (2022) Marginal return-ability measurement of carbon emission right and its application to unification route analysis of carbon markets. Journal of Cleaner Production 345, pages 130684.
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Yue Liu, Lixin Tian, Huaping Sun, Xiling Zhang & Chuimin Kong. (2022) Option pricing of carbon asset and its application in digital decision-making of carbon asset. Applied Energy 310, pages 118375.
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Yue Liu, Lixin Tian, Zhuyun Xie, Zaili Zhen & Huaping Sun. (2021) Option to survive or surrender: Carbon asset management and optimization in thermal power enterprises from China. Journal of Cleaner Production 314, pages 128006.
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SEBASTIAN BECKER, PATRICK CHERIDITO, ARNULF JENTZEN & TIMO WELTI. (2021) Solving high-dimensional optimal stopping problems using deep learning. European Journal of Applied Mathematics 32:3, pages 470-514.
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Martin Redmann, Christian Bayer & Pawan Goyal. (2021) Low-Dimensional Approximations of High-Dimensional Asset Price Models. SIAM Journal on Financial Mathematics 12:1, pages 1-28.
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Bradley Sturt. (2021) A nonparametric algorithm for optimal stopping based on robust optimization. SSRN Electronic Journal.
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