OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS

DOI10.1142/S0219024906004037MaRDI QIDQ5386316zbMATH OpenFDO

Authors Amina Zeghal, Mohamed Mnif

Publication date 14 May 2008

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024906004037

zbMATH Keywords

American optionLévy processesMalliavin calculusmultiple optimal stoppingsnell envelop

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• A general optimal multiple stopping problem with an application to swing options
• Efficient pricing of swing options in Lévy-driven models
• Generalization on optimal multiple stopping with application to swing options with random exercise rights number
• Swing options in commodity markets: a multidimensional Lévy diffusion model

Cites work

• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations
• scientific article; zbMATH DE number 1255542 (Why is no real title available?)
• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• Optimal stopping for a diffusion with jumps

Cited in

(15)

• On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models
• Resolvent-techniques for multiple exercise problems
• Generalization on optimal multiple stopping with application to swing options with random exercise rights number
• Optimal multiple stopping with negative discount rate and random refraction times under Lévy models
• An analytic recursive method for optimal multiple stopping: Canadization and phase-type fitting
• A general optimal multiple stopping problem with an application to swing options
• A Direct Approach to the Solution of Optimal Multiple-Stopping Problems
• THE SWING OPTION ON THE STOCK MARKET
• Swing option pricing by dynamic programming with b-spline density projection
• Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
• Efficient pricing of swing options in Lévy-driven models
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• A first-order BSPDE for swing option pricing
• Optimal multiple stopping problem with irregular reward
• An iterative method for the multiple stopping problem under Knightian uncertainty

This page was built for publication: OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5386316)