3 search results - page 1 / 1 » Time-inconsistent multistage stochastic programs: Martingale... |
MP
2008
13 years 4 months ago
2008
Multistage stochastic programs have applications in many areas and support policy makers in finding rational decisions that hedge against unforeseen negative events. In order to en...
SAGA
2009
Springer
13 years 11 months ago
2009
Springer
We propose a generic method for obtaining quickly good upper bounds on the minimal value of a multistage stochastic program. The method is based on the simulation of a feasible dec...
EOR
2010
12 years 11 months ago
2010
We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a sufficiently attractive expected gai...