79 citations · 228 across the 17 of their papers we have counts for
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q-fin.CP2013★ 28 cited
A primal-dual algorithm for BSDEs
Christian Bender, Nikolaus Schweizer, Jia Zhuo
We generalize the primal-dual methodology, which is popular in the pricing of early-exercise options, to a backward dynamic programming equation associated with time discretization…
q-fin.CP2011
Dual representations for general multiple stopping problems
Christian Bender, John Schoenmakers, Jianing Zhang
In this paper, we study the dual representation for generalized multiple stopping problems, hence the pricing problem of general multiple exercise options. We derive a dual represe…