A general optimal multiple stopping problem with an application to swing options
DOI10.1080/07362994.2015.1037592zbMATH Open1327.60098OpenAlexW1586127149MaRDI QIDQ3448337FDOQ3448337
Mohamed Mnif, Imène Ben Latifa, J. Frédéric Bonnans
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
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optimal multiple stoppingviscosity solutionjump diffusion processesSnell envelopeHamilton-Jacobi-Bellman variational inequalityswing options
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)
Cites Work
- Optimal Multiple Stopping of Linear Diffusions
- Title not available (Why is that?)
- Title not available (Why is that?)
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
- Optimal multiple stopping time problem
- Title not available (Why is that?)
- Optimal stopping, free boundary, and American option in a jump-diffusion model
- Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application
- Dual pricing of multi-exercise options under volume constraints
- Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
- An iterative method for multiple stopping: convergence and stability
- THE SWING OPTION ON THE STOCK MARKET
Cited In (7)
- The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
- On the finite horizon optimal switching problem with random lag
- SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION
- Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
- THE SWING OPTION ON THE STOCK MARKET
- Numerical methods for an optimal multiple stopping problem
- A finite horizon optimal switching problem with memory and application to controlled SDDEs
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