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Optimal Multiple Stopping And Valuation Of Swing Options

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  • René Carmona
  • Nizar Touzi
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.2007.00331.x
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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Mathematical Finance.

    Volume (Year): 18 (2008)
    Issue (Month): 2 ()
    Pages: 239-268

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    Handle: RePEc:bla:mathfi:v:18:y:2008:i:2:p:239-268

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    Cited by:
    1. Yuri Kifer, 2012. "Dynkin Games and Israeli Options," Papers 1209.1791, arXiv.org.
    2. Nikolay Aleksandrov & Raphael Espinoza & Lajos Gyurko, 2012. "Optimal Oil Production and the World Supply of Oil," OxCarre Working Papers 092, Oxford Centre for the Analysis of Resource Rich Economies, University of Oxford.
    3. Christian Bender & Nikolai Dokuchaev, 2013. "A First-Order BSPDE for Swing Option Pricing," Papers 1305.3988, arXiv.org.
    4. S\"oren Christensen & Albrecht Irle & Stephan J\"urgens, 2012. "Optimal multiple stopping with random waiting times," Papers 1205.1966, arXiv.org.
    5. Kourouvakalis, Stylianos, 2008. "Méthodes numériques pour la valorisation d'options swings et autres problèmes sur les matières premières," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/116 edited by Geman, Hélyette.
    6. M. Basei & A. Cesaroni & T. Vargiolu, 2013. "Optimal exercise of swing contracts in energy markets: an integral constrained stochastic optimal control problem," Papers 1307.1320, arXiv.org.
    7. Marcus Eriksson & Jukka Lempa & Trygve Kastberg Nilssen, 2013. "Swing options in commodity markets: A multidimensional L\'evy diffusion model," Papers 1302.6399, arXiv.org.
    8. Rodrigo S. Targino & Gareth W. Peters & Georgy Sofronov & Pavel V. Shevchenko, 2013. "Optimal insurance purchase strategies via optimal multiple stopping times," Papers 1312.0424, arXiv.org.
    9. John Schoenmakers, 2012. "A pure martingale dual for multiple stopping," Finance and Stochastics, Springer, vol. 16(2), pages 319-334, April.
    10. Egami, Masahiko & Young, Virginia R., 2009. "Optimal reinsurance strategy under fixed cost and delay," Stochastic Processes and their Applications, Elsevier, vol. 119(3), pages 1015-1034, March.
    11. N. Aleksandrov & B. Hambly, 2010. "A dual approach to multiple exercise option problems under constraints," Computational Statistics, Springer, vol. 71(3), pages 503-533, June.
    12. Imene Ben Latifa & J. Frederic Bonnans & Mohamed Mnif, 2011. "Optimal multiple stopping problem and financial applications," Working Papers hal-00642919, HAL.
    13. Marcus Eriksson & Jukka Lempa & Trygve Nilssen, 2014. "Swing options in commodity markets: a multidimensional Lévy diffusion model," Computational Statistics, Springer, vol. 79(1), pages 31-67, February.
    14. Christensen, Sören, 2014. "On the solution of general impulse control problems using superharmonic functions," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 709-729.

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