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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 79, 2007 - Issue 1-2: Optimal Stopping and Applications Part I
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Original Articles

The duality of optimal exercise and domineering claims: a Doob–Meyer decomposition approach to the Snell envelope

Farshid Jamshidian Applied Mathematics, FELAB, University of Twente, Twente, The NetherlandsCorrespondence[email protected]
Pages 27-60 | Received 06 Mar 2006, Accepted 04 Oct 2006, Published online: 05 Nov 2008

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Helin Zhu, Fan Ye & Enlu Zhou. (2015) Fast estimation of true bounds on Bermudan option prices under jump-diffusion processes. Quantitative Finance 15:11, pages 1885-1900.
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Roberto Baviera & Lorenzo Giada. (2013) A perturbative approach to Bermudan options pricing with applications. Quantitative Finance 13:2, pages 255-263.
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Hans Rudolf Lerche & Mikhail Urusov. (2010) On Minimax Duality in Optimal Stopping. Sequential Analysis 29:3, pages 328-342.
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Denis Belomestny, Grigori Milstein & Vladimir Spokoiny. (2009) Regression methods in pricing American and Bermudan options using consumption processes. Quantitative Finance 9:3, pages 315-327.
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Carl Chiarella & Andrew Ziogas. (2009) American Call Options Under Jump‐Diffusion Processes – A Fourier Transform Approach. Applied Mathematical Finance 16:1, pages 37-79.
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Christoph Kühn & Kees van Schaik. (2008) Perpetual convertible bonds with credit risk. Stochastics 80:6, pages 585-610.
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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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Sören Christensen & Albrecht Irle. (2020) The monotone case approach for the solution of certain multidimensional optimal stopping problems. Stochastic Processes and their Applications 130:4, pages 1972-1993.
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CHEN LIU, HENRY SCHELLHORN & QIDI PENG. (2019) AMERICAN OPTION PRICING WITH REGRESSION: CONVERGENCE ANALYSIS. International Journal of Theoretical and Applied Finance 22:08, pages 1950044.
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LOUIS BHIM & REIICHIRO KAWAI. (2018) SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS. International Journal of Theoretical and Applied Finance 21:01, pages 1850009.
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Jérôme Lelong. (2018) Dual Pricing of American Options by Wiener Chaos Expansion. SIAM Journal on Financial Mathematics 9:2, pages 493-519.
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J. de Kort & M.H. Vellekoop. (2017) Existence of optimal consumption strategies in markets with longevity risk. Insurance: Mathematics and Economics 72, pages 107-121.
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Mark S. Joshi. (2015) A new class of dual upper bounds for early exercisable derivatives encompassing both the additive and multiplicative bounds. Operations Research Letters 43:6, pages 581-585.
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Martin Haugh & Chun Wang. (2014) Dynamic Portfolio Execution and Information Relaxations. SIAM Journal on Financial Mathematics 5:1, pages 316-359.
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John Schoenmakers, Jianing Zhang & Junbo Huang. (2013) Optimal Dual Martingales, Their Analysis, and Application to New Algorithms for Bermudan Products. SIAM Journal on Financial Mathematics 4:1, pages 86-116.
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Shyam S. Chandramouli & Martin B. Haugh. (2012) A unified approach to multiple stopping and duality. Operations Research Letters 40:4, pages 258-264.
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John Schoenmakers. (2010) A pure martingale dual for multiple stopping. Finance and Stochastics 16:2, pages 319-334.
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Fan Ye & Enlu Zhou. (2011) Pricing American options under partial observation of stochastic volatility. Pricing American options under partial observation of stochastic volatility.
Sandeep Juneja. (2010) Monte Carlo methods in finance: An introductory tutorial. Monte Carlo methods in finance: An introductory tutorial.
Leif B.G. Andersen & Mark Broadie. 2010. Encyclopedia of Quantitative Finance. Encyclopedia of Quantitative Finance.
Michael Kohler. 2010. Recent Developments in Applied Probability and Statistics. Recent Developments in Applied Probability and Statistics 37 58 .
Michael Kohler, Adam Krzyzak & Harro Walk. (2009) Upper bounds for Bermudan options on Markovian data using nonparametric regression and a reduced number of nested Monte Carlo steps. Statistics & Decisions 26:4, pages 275-288.
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Michael Kohler, Adam Krzyzak & Harro Walk. (2009) On application of nonparametric regression estimation to options pricing. On application of nonparametric regression estimation to options pricing.
Denis Belomestny, Christian Bender & John Schoenmakers. (2009) TRUE UPPER BOUNDS FOR BERMUDAN PRODUCTS VIA NON-NESTED MONTE CARLO. Mathematical Finance 19:1, pages 53-71.
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Jan De Kort & Michel H. Vellekoop. (2016) Existence of Optimal Consumption Strategies in Markets with Longevity Risk. SSRN Electronic Journal.
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Mark S. Joshi. (2014) A New Class of Dual Upper Bounds for Early Exercisable Derivatives Encompassing Both the Additive and Multiplicative Bounds. SSRN Electronic Journal.
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John Schoenmakers & Junbo Huang. (2011) Optimal Dual Martingales, Their Analysis and Application to New Algorithms for Bermudan Products. SSRN Electronic Journal.
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Yang Wang & Russel Caflisch. (2010) Fast Computation of Upper Bounds for American-Style Options Without Nested Simulation. SSRN Electronic Journal.
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John Schoenmakers. (2009) The Real Multiple Dual. SSRN Electronic Journal.
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Denis Belomestny, Anastasia Kolodko & John Schoenmakers. (2008) Regression Methods for Stochastic Control Problems. SSRN Electronic Journal.
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