OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

DOI10.1111/j.1467-9965.2007.00331.xzbMath1133.91499OpenAlexW2168392234MaRDI QIDQ5459957

Publication date: 30 April 2008

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2007.00331.x

Mathematics Subject Classification ID

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

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