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Optimal multiple stopping and valuation of swing options
René Carmona
, Nizar Touzi
Operations Research & Financial Engineering
Bendheim Center for Finance
High Meadows Environmental Institute
Mathematics
Princeton Institute for Computational Science and Engineering
Research output
:
Contribution to journal
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Article
›
peer-review
123
Scopus citations
Overview
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Mathematics
Contingent Claims
84%
Finite Horizon
70%
Pricing
66%
Exercise
62%
Valuation
61%
Black-Scholes Model
41%
Random Systems
40%
Optimal Stopping
38%
Policy
29%
Numerical Algorithms
29%
Numerical Approximation
29%
Approximation Algorithms
26%
Numerical Results
20%
Approximation
15%
Generalization
15%
Business & Economics
Swing Options
100%
Contingent Claims
72%
Finite Horizon
70%
Malliavin Calculus
48%
Exercise
47%
Optimal Stopping
40%
Pricing
40%
Approximation Algorithms
37%
Black-Scholes Model
36%
Approximation
24%
Social Sciences
pricing
60%
Engineering & Materials Science
Approximation algorithms
32%
Costs
23%