A general optimal multiple stopping problem with an application to swing options (Q3448337)
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scientific article; zbMATH DE number 6497860
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| default for all languages | No label defined |
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| English | A general optimal multiple stopping problem with an application to swing options |
scientific article; zbMATH DE number 6497860 |
Statements
A General Optimal Multiple Stopping Problem with an Application to Swing Options (English)
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23 October 2015
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optimal multiple stopping
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swing options
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jump diffusion processes
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Snell envelope
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Hamilton-Jacobi-Bellman variational inequality
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viscosity solution
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0.8837514519691467
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0.8816768527030945
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0.864252507686615
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0.8334945440292358
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0.8331140875816345
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