A General Optimal Multiple Stopping Problem with an Application to Swing Options

Imene Ben Latifa 1 Joseph Frédéric Bonnans 2, 3 Mohamed Mnif 1
3 Commands - Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems
CNRS - Centre National de la Recherche Scientifique : UMR7641, X - École polytechnique, UMA - Unité de Mathématiques Appliquées, Inria Saclay - Ile de France, CMAP - Centre de Mathématiques Appliquées - Ecole Polytechnique
Abstract : In their paper, Carmona and Touzi [8] studied an optimal multiple stopping time problem in a market where the price process is continuous. In this article, 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. 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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Stochastic Analysis and Applications, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2015, 33 (4), pp.715-739. 〈10.1080/07362994.2015.1037592〉
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Dernière modification le : jeudi 12 avril 2018 - 01:49:41

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Imene Ben Latifa, Joseph Frédéric Bonnans, Mohamed Mnif. A General Optimal Multiple Stopping Problem with an Application to Swing Options. Stochastic Analysis and Applications, Taylor & Francis: STM, Behavioural Science and Public Health Titles, 2015, 33 (4), pp.715-739. 〈10.1080/07362994.2015.1037592〉. 〈hal-01248283〉

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