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...
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...
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...