13 citations · 15 across the 4 of their papers we have counts for
3 papers · 1 filter
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…
Optimal dual martingales, their analysis and application to new algorithms for Bermudan products
John Schoenmakers, Junbo Huang, Jianing Zhang
In this paper we introduce and study the concept of optimal and surely optimal dual martingales in the context of dual valuation of Bermudan options, and outline the development of…
Forward-backward systems for expected utility maximization
Ulrich Horst, Ying Hu, Peter Imkeller +2
In this paper we deal with the utility maximization problem with a general utility function. We derive a new approach in which we reduce the utility maximization problem with gener…