OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS
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Publication:5459957
DOI10.1111/J.1467-9965.2007.00331.XzbMATH Open1133.91499OpenAlexW2168392234MaRDI QIDQ5459957FDOQ5459957
Authors: Nizar Touzi, René Carmona 
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
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- Generalization on optimal multiple stopping with application to swing options with random exercise rights number
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- THE SWING OPTION ON THE STOCK MARKET
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Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)
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Cited In (88)
- The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
- Generalization on optimal multiple stopping with application to swing options with random exercise rights number
- Hedging of swing game options in continuous time
- Optimal reinsurance strategy under fixed cost and delay
- OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS
- Algorithms for Optimal Control of Stochastic Switching Systems
- Perfect and partial hedging for swing game options in discrete time
- Optimal risk management problem of natural resources: application to oil drilling
- A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING
- Optimal multiple stopping time problem
- Continuously controlled options: derivatives with added flexibility
- REAL OPTIONS WITH COMPETITION AND REGIME SWITCHING
- Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models
- Monte Carlo methods via a dual approach for some discrete time stochastic control problems
- Optimal multiple stopping models of reload options and shout options
- AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING
- Multiple stopping time POMDPs: structural results \& application in interactive advertising on social media
- An algorithmic approach to optimal asset liquidation problems
- An optimal multiple stopping approach to infrastructure investment decisions
- Optimal multiple stopping problems under \(g\)-expectation
- Utility indifference pricing and hedging for structured contracts in energy markets
- Perpetual American double lookback options on drawdowns and drawups with floating strikes
- Portfolios of American options under general preferences: results and counterexamples
- Optimal multiple stopping problem under nonlinear expectation
- A pure martingale dual for multiple stopping
- Modelling spikes and pricing swing options in electricity markets
- Valuation and pricing of electricity delivery contracts: the producer's view
- A General Optimal Multiple Stopping Problem with an Application to Swing Options
- Optimal multiple stopping with random waiting times
- Sensitivity analysis of energy contracts by stochastic programming techniques
- Risk sensitive optimal stopping
- Optimal strategy between extraction and storage of crude oil
- THE SWING OPTION ON THE STOCK MARKET
- Dual pricing of multi-exercise options under volume constraints
- Pricing and risk of swing contracts in natural gas markets
- Optimal oil production and the world supply of oil
- Optimal Quantization for the Pricing of Swing Options
- On the Optimal Exercise Boundaries of Swing Put Options
- On the Structure of a Swing Contract's Optimal Value and Optimal Strategy
- On the problem of optimal stopping for the composite Russian option
- Optimal double stopping problems for maxima and minima of geometric Brownian motions
- Infinite horizon stopping problems with (nearly) total reward criteria
- A dual approach to multiple exercise option problems under constraints
- A Longstaff and Schwartz approach to the early election problem
- Dynkin's games and Israeli options
- An optimal stopping policy for car rental businesses with purchasing customers
- American step-up and step-down default swaps under Lévy models
- Efficient pricing of swing options in Lévy-driven models
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
- Forest of stochastic meshes: a new method for valuing high-dimensional swing options
- OPTIMAL LIQUIDATION OF DERIVATIVE PORTFOLIOS
- When are swing options bang-bang?
- An iterative method for multiple stopping: convergence and stability
- Risk management in power markets: the hedging value of production flexibility
- Valuation of electricity swing options by multistage stochastic programming
- Electricity swing options: behavioral models and pricing
- On the Pricing of Perpetual American Compound Options
- Risk-hedging in real estate markets
- ACCOUNTING FOR RISK AVERSION, VESTING, JOB TERMINATION RISK AND MULTIPLE EXERCISES IN VALUATION OF EMPLOYEE STOCK OPTIONS
- An exactly solvable multiple stochastic optimal stopping problem
- Optimal redeeming strategy of stock loans with finite maturity
- Risk-sensitive optimal stopping with unbounded terminal cost function
- A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading
- Swing options valuation: a BSDE with constrained jumps approach
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- On the solution of general impulse control problems using superharmonic functions
- Contraction options and optimal multiple-stopping in spectrally negative Lévy models
- Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing.
- Optimal Hedging of a Perpetual American Put with a Single Trade
- Resolvent-techniques for multiple exercise problems
- Swing option pricing consistent with futures smiles
- An efficient and provable sequential quadratic programming method for American and swing option pricing
- SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- An exit contract optimization problem
- Hedging swing options
- Distributed energy resources flexibility as volumetric options on electricity
- A Direct Approach to the Solution of Optimal Multiple-Stopping Problems
- Pricing corporate debt with finite maturity and chapter 11 proceedings
- Continuity Properties of Optimal Multiple Stopping Value
- Optimal mean-reverting spread trading: nonlinear integral equation approach
- Optimal exercise strategies for operational risk insurance via multiple stopping times
- Valuation of swing options under a regime-switching mean-reverting model
- On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models
- Quickest search over Brownian channels
- Swing options in commodity markets: a multidimensional Lévy diffusion model
- A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes
- Pricing renewable identification numbers under uncertainty
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