The critical price for the American put in an exponential Lévy model
, 2008 American options, Optimal stopping, Exponential Lévy model, 60G40, 60J75, 91B28, G10, G12, G13,
Lamberton, Damien +3 more
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Multi-armed Bandit processes with optimal selection of the operating times
Multi-armed bandit processes, Gittins index, 90C40, 90B36, 60G40, 62L10,
Ricardo Vélez, Pilar Ibarrola
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Proving regularity of the minimal probability of ruin via a game of stopping and control
, 2011 Probability of lifetime ruin, Stochastic games, Optimal stopping, Optimal investment, Viscosity solution, Hamilton–Jacobi–Bellman equation, Variational inequality, 93E20, 91B28, 60G40, G11, C61,
Virginia R. Young +2 more
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Statistical inference for a finite optimal stopping problem with unknown transition probabilities
Dynamic programming, optimal stopping problem, 60G40, 62F12,
Tomás Rumeau
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Dual pricing of multi-exercise options under volume constraints
, 2010 Duality, Option pricing, Monte Carlo simulation, Multi-exercise options, Swing options, 91B28, 60G40, 62L15, 65C05, G13, C61,
Christian Bender
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Optimal Switch from a Fossil-Fueled to an Electric Vehicle [PDF]
, 2020 Falbo P, Ferrari G, Rizzini G, Schmeck MD. Optimal Switch from a Fossil-Fueled to an Electric Vehicle. Center for Mathematical Economics Working Papers. Vol 642. Bielefeld: Center for Mathematical Economics; 2020.In this paper we propose and solve a real
Falbo, Paolo +7 more
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Approximation of the Snell envelope and american options prices in dimension one
, 2001 . We establish some error estimates for the approximation of an optimal stopping problem along the paths of the Black{Scholes model. This approximation is based on a tree method.
Bruno Saussereau +3 more
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Central limit theorem for the estimator of the value of an optimal stopping problem
Optimal stopping problem, central limit theorem, 60G40, 62F12, 60F05,
Tomás Prieto-Rumeau
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Hedging variance options on continuous semimartingales
Continuous semimartingale, Variance option, Superreplication, Subreplication, Price bounds, 60G40, 60G48, 91B28, 91B70, C02, G13,
Roger Lee, Peter Carr
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Goodness-of-fit tests for compound distributions with applications in insurance
, 2022 Goodness-of-fit procedures are provided to test the validity of compound models for the total claims, involving specific laws for the constituent components, namely the claim frequency distribution and the distribution of individual claim sizes.
Goffard, Pierre-Olivier +2 more
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