Optimal multiple stopping problem and financial applications

Abstract : In their paper [2], Carmona and Touzi have studied an optimal multiple stopping time problem in a market where the price process is continuous. In this paper, we generalize their results when the price process is allowed to jump. Also, we generalize the problem associated to the valuation of swing options to the context of jump diffusion processes. Then we relate our problem to a sequence of ordinary stopping time problems. We characterize the value function of each ordinary stopping time problem as the unique viscosity solution of the associated Hamilton-Jacobi-Bellman Variational Inequality.
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Submitted on : Saturday, November 19, 2011 - 6:51:51 PM
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Imene Ben Latifa, Joseph Frederic Bonnans, Mohamed Mnif. Optimal multiple stopping problem and financial applications. [Research Report] RR-7807, INRIA. 2011, pp.30. ⟨hal-00642919⟩

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