A general optimal multiple stopping problem with an application to swing options

DOI10.1080/07362994.2015.1037592MaRDI QIDQ3448337zbMATH OpenOpenAlexFDO

Authors Imène Ben Latifa, J. Frédéric Bonnans, Mohamed Mnif

Publication date 23 October 2015

Published in Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://hal.inria.fr/hal-01248283/file/A_general_optimal_multiple_stopping_problem_with_an_application_to_Swing_Options_final.pdf

zbMATH Keywords

optimal multiple stoppingviscosity solutionjump diffusion processesSnell envelopeHamilton-Jacobi-Bellman variational inequalityswing options

Mathematics Subject Classification ID

Diffusion processes (60J60) Variational inequalities (49J40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic models in economics (91B70) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 3740439 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• An iterative method for multiple stopping: convergence and stability
• Dual pricing of multi-exercise options under volume constraints
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
• Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
• Optimal multiple stopping of linear diffusions
• Optimal multiple stopping time problem
• Optimal stopping, free boundary, and American option in a jump-diffusion model
• Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
• THE SWING OPTION ON THE STOCK MARKET

Cited in

(13)

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• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
• A finite horizon optimal switching problem with memory and application to controlled SDDEs
• Numerical methods for an optimal multiple stopping problem
• The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
• Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
• Generalization on optimal multiple stopping with application to swing options with random exercise rights number
• Optimal multiple stopping problems under \(g\)-expectation
• OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
• On the finite horizon optimal switching problem with random lag
• Swing option pricing by dynamic programming with b-spline density projection
• General undiscounted nonlinear optimal multiple stopping of linear diffusions with boundary classification
• On the optimal exercise boundaries of swing put options

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