Abstract
In this chapter we present an alternative approach of constructing upper bounds for the values of discrete time optimal stopping problems based on consumption processes.
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Belomestny, D., Schoenmakers, J. (2018). Pricing Bermudan Options via Consumption Processes. In: Advanced Simulation-Based Methods for Optimal Stopping and Control. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-137-03351-2_13
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DOI: https://doi.org/10.1057/978-1-137-03351-2_13
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Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-137-03350-5
Online ISBN: 978-1-137-03351-2
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