A pure martingale dual for multiple stopping
A pure martingale dual for multiple stopping
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DOI：
10.1007/s00780-010-0149-1
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发表时间：
2012-04
影响因子：
1.7
通讯作者：
J. Schoenmakers
中科院分区：
文献类型：
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作者：
J. Schoenmakers
In this paper, we present a dual representation for the multiple stopping problem, hence multiple exercise options. As such, it is a natural generalization of the method in Rogers (Math. Finance 12:271–286, 2002) and Haugh and Kogan (Oper. Res. 52:258–270, 2004) for the standard stopping problem for American options. We term this representation a ‘pure martingale’ dual as it is solely expressed in terms of an infimum over martingales rather than an infimum over martingalesandstopping times as in Meinshausen and Hambly (Math. Finance 14:557–583, 2004). For the multiple dual representation, we propose Monte Carlo simulation methods which require only one degree of nesting.
