Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach
Published Online:1 Jun 2013https://doi.org/10.1287/opre.2013.1167
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opre.2013.1167-sm.pdf (319 KB)
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Volume 61, Issue 3
May-June 2013
Pages iii-790
Article Information
Supplemental Material
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- Received:October 01, 2011
- Accepted:February 01, 2013
- Published Online:June 01, 2013
Copyright © 2013, INFORMS
Cite as
Lingfei Li, Vadim Linetsky, (2013) Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach. Operations Research 61(3):625-643.
https://doi.org/10.1287/opre.2013.1167
Keywords
