Optimal multiple stopping of linear diffusions

DOI10.1287/MOOR.1070.0301MaRDI QIDQ3168975zbMATH OpenOpenAlexFDO

Authors Savas Dayanik, René Carmona

Publication date 27 April 2011

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/f6466cc492ed828dd3ff067a1e2181d6bb029f82

zbMATH Keywords

diffusionsoptimal multiple stoppingsnell envelopeswing options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Optimal stopping of linear diffusions with random discounting
• On undiscounted non-linear optimal multiple stopping
• Optimal stopping of the maximum process
• Optimal multiple stopping time problem
• Optimal stopping and maximal inequalities for linear diffusions

Cited in

(37)

• Valuation of electricity swing options by multistage stochastic programming
• Electricity swing options: behavioral models and pricing
• An optimal multiple stopping approach to infrastructure investment decisions
• An exactly solvable multiple stochastic optimal stopping problem
• Real option valuation for reserve capacity
• Study of undiscounted non-linear optimal multiple stopping problems on unbounded intervals
• Perpetual American double lookback options on drawdowns and drawups with floating strikes
• Optimal double stopping problems for maxima and minima of geometric Brownian motions
• Partial liquidation under reference-dependent preferences
• Resolvent-techniques for multiple exercise problems
• On the solution of general impulse control problems using superharmonic functions
• Generalization on optimal multiple stopping with application to swing options with random exercise rights number
• On undiscounted non-linear optimal multiple stopping
• Optimal multiple stopping with random waiting times
• Quickest search over Brownian channels
• 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
• Hedging swing options
• Sequential sensor installation for Wiener disorder detection
• Optimal Quantization for the Pricing of Swing Options
• A general optimal multiple stopping problem with an application to swing options
• Continuity Properties of Optimal Multiple Stopping Value
• On the pricing of perpetual American compound options
• A Direct Approach to the Solution of Optimal Multiple-Stopping Problems
• Dual pricing of multi-exercise options under volume constraints
• Optimal hedging of a perpetual American put with a single trade
• Contraction options and optimal multiple-stopping in spectrally negative Lévy models
• Swing option pricing by dynamic programming with b-spline density projection
• On the optimal exercise boundaries of swing put options
• Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
• Exact Optimal Stopping for Multidimensional Linear Switching Diffusions
• Optimal multiple stopping problem under nonlinear expectation
• Optimal multiple stopping time problem
• Optimal times to buy and sell a home
• Perpetual American compound fixed-strike lookback options on maxima drawdowns
• An iterative method for the multiple stopping problem under Knightian uncertainty
• Perpetual American compound lookback and integral options with floating strikes

This page was built for publication: Optimal multiple stopping of linear diffusions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3168975)