48 citations · 207 across the 31 of their papers we have counts for
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q-fin.CP2011★ 9 cited
Optimal decision under ambiguity for diffusion processes
Sören Christensen
In this paper we consider stochastic optimization problems for an ambiguity averse decision maker who is uncertain about the parameters of the underlying process. In a first part w…
q-fin.CP2011★ 17 cited
A method for pricing American options using semi-infinite linear programming
Sören Christensen
We introduce a new approach for the numerical pricing of American options. The main idea is to choose a finite number of suitable excessive functions (randomly) and to find the sma…