Optimal multiple stopping with random waiting times

DOI10.1080/07474946.2013.803814MaRDI QIDQ2854356zbMATH OpenOpenAlexFDO

Authors Sören Christensen, Albrecht Irle, Stephan Jürgens

Publication date 18 October 2013

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1205.1966

zbMATH Keywords

optimal multiple stoppingrandom waiting timesswing options

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stopping in statistics (62L15) Stochastic models in economics (91B70) Portfolio theory (91G10)

Abstract: In the standard models for optimal multiple stopping problems it is assumed that between two exercises there is always a time period of deterministic length $delta$, the so called refraction period. This prevents the optimal exercise times from bunching up together on top of the optimal stopping time for the one-exercise case. In this article we generalize the standard model by considering random refraction times. We develop the theory and reduce the problem to a sequence of ordinary stopping problems thus extending the results for deterministic times. This requires an extension of the underlying filtrations in general. Furthermore we consider the Markovian case and treat an example explicitly.

Recommendations

• Optimal multiple stopping time problem
• Multiple-stopping problems with random horizon
• Generalization on optimal multiple stopping with application to swing options with random exercise rights number
• Optimal multiple stopping of linear diffusions
• Optimal multiple stopping with sum-payoff

Cites work

• An iterative method for multiple stopping: convergence and stability
• Dual pricing of multi-exercise options under volume constraints
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 3369559 (Why is no real title available?)
• MONTE CARLO METHODS FOR THE VALUATION OF MULTIPLE‐EXERCISE OPTIONS
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• Optimal multiple stopping of linear diffusions
• Optimal multiple stopping time problem
• Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
• Valuation of Commodity-Based Swing Options

Cited in

(13)

• Optimal stopping with random exercise lag
• 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
• Multiple-stopping problems with random horizon
• On Learning the Optimal Waiting Time
• 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
• Swing option pricing by dynamic programming with b-spline density projection
• Optimal stopping for dynamic recruitment problem with probabilistic loss of candidates
• Optimal multiple stopping time problem
• An iterative method for the multiple stopping problem under Knightian uncertainty
• Some results on optimal stopping under phase-type distributed implementation delay

This page was built for publication: Optimal multiple stopping with random waiting times

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2854356)