Pricing American Options: A Duality Approach
Operations Research
Regression methods for pricing complex American-style options
IEEE Transactions on Neural Networks
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In this paper we consider the optimal stopping problem for general dynamic monetary utility functionals. Sufficient conditions for the Bellman principle and the existence of optimal stopping times are provided. Particular attention is paid to representations which allow for a numerical treatment in real situations. To this aim, generalizations of standard evaluation methods like policy iteration and dual and consumption based approaches are developed in the context of general dynamic monetary utility functionals. As a result, it turns out that the possibility of a particular generalization depends on specific properties of the utility functional under consideration.