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Smith Professorship"},{"name":"Marie Curie Career Integration Grant","award":["618235"],"award-info":[{"award-number":["618235"]}]},{"DOI":"10.13039\/501100003977","name":"Israel Science Foundation","doi-asserted-by":"publisher","award":["160\/17"],"award-info":[{"award-number":["160\/17"]}],"id":[{"id":"10.13039\/501100003977","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/100000001","name":"National Science Foundation","doi-asserted-by":"publisher","award":["DMS-1613170"],"award-info":[{"award-number":["DMS-1613170"]}],"id":[{"id":"10.13039\/100000001","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Finan. Math."],"published-print":{"date-parts":[[2018,1]]},"abstract":"<jats:p>In this paper we develop two numerical methods for optimal stopping in the framework of one dimensional diffusion. Both of the methods use the Skorokhod embedding in order to construct recombining tree approximations for diffusions with general coefficients. This technique allows us to determine convergence rates and construct nearly optimal stopping times which are optimal at the same rate. Finally, we demonstrate the efficiency of our schemes on several models.<\/jats:p>","DOI":"10.1137\/17m1118865","type":"journal-article","created":{"date-parts":[[2018,5,8]],"date-time":"2018-05-08T13:01:20Z","timestamp":1525784480000},"page":"602-633","source":"Crossref","is-referenced-by-count":5,"title":["Recombining Tree Approximations for Optimal Stopping for Diffusions"],"prefix":"10.1137","volume":"9","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-1926-4570","authenticated-orcid":true,"given":"Erhan","family":"Bayraktar","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Yan","family":"Dolinsky","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Jia","family":"Guo","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2018,5,8]]},"reference":[{"key":"atypb1","doi-asserted-by":"publisher","DOI":"10.1214\/16-AIHP760"},{"key":"atypb2","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmaa.2016.03.055"},{"key":"atypb3","doi-asserted-by":"crossref","unstructured":"S. T. Asmussen and P. W. Glynn,\n                      Stochastic Simulation: Algorithms and Analysis\n                      , Stoch. Model. Appl. Probab. 57, Springer, New York, 2007.","DOI":"10.1007\/978-0-387-69033-9"},{"key":"atypb4","doi-asserted-by":"publisher","DOI":"10.1007\/s00780-016-0321-3"},{"key":"atypb5","doi-asserted-by":"publisher","DOI":"10.1080\/17442508.2013.778861"},{"key":"atypb6","doi-asserted-by":"publisher","DOI":"10.1080\/14697680903170817"},{"key":"atypb7","doi-asserted-by":"publisher","DOI":"10.1002\/num.21841"},{"key":"atypb8","doi-asserted-by":"publisher","DOI":"10.1016\/0166-218X(87)90064-3"},{"key":"atypb9","doi-asserted-by":"crossref","unstructured":"J. C. Cox,\n                      The Constant Elasticity of Variance Option Pricing model\n                      , J. 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