The Real Multiple Dual
Please always quote using this URN:urn:nbn:de:0296-matheon-6571
- 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 (2002) and Haugh and Kogan (2004) for the standard stopping problem for American options. We consider this representation as the real dual as it is solely expressed in terms of an infimum over martingales rather than an infimum over martingales and stopping times as in Meinshausen and Hambly (2004). For the multiple dual representation we present three Monte Carlo simulation algorithms which require only one degree of nesting.
Author: | John Schoenmakers |
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URN: | urn:nbn:de:0296-matheon-6571 |
Referee: | Peter Imkeller |
Document Type: | Preprint, Research Center Matheon |
Language: | English |
Date of first Publication: | 2009/10/09 |
Release Date: | 2009/01/09 |
Institute: | Weierstraß-Institut für Angewandte Analysis und Stochastik (WIAS) |
Preprint Number: | 663 |