Study of undiscounted non-linear optimal multiple stopping problems on unbounded intervals
Summary: In this paper we formulate and solve a class of undiscounted non-linear optimal multiple stopping problems, where the underlying price process follows a general linear regular diffusion on an unbounded and closed subinterval of the state space and where the payoff/reward function is bounded, continuous and superadditive. We use and adapt general theory of optimal stopping for diffusion and we illustrate the developed optimal exercise strategies by the example of valuation of perpetual American-style fixed strike discretely random monitoring Asian put options on any unbounded closed interval of the form \([\varepsilon,\infty)\), where \(\varepsilon>0\) is a given lower bound.
- On undiscounted non-linear optimal multiple stopping
- General undiscounted nonlinear optimal multiple stopping of linear diffusions with boundary classification
- Optimal multiple stopping of linear diffusions
- On the structure of discounted optimal stopping problems for one-dimensional diffusions
- Discounted Optimal Stopping for Maxima of Some Jump-Diffusion Processes
- General undiscounted nonlinear optimal multiple stopping of linear diffusions with boundary classification
- Deep combinatorial optimisation for optimal stopping time problems: application to swing options pricing.
- Generalization on optimal multiple stopping with application to swing options with random exercise rights number
- On undiscounted non-linear optimal multiple stopping
- Primal and Dual Pricing of Multiple Exercise Options in Continuous Time
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