Optimal multiple stopping problem and financial applications
AbstractIn their paper , 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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Date of creation: 19 Nov 2011
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Optimal multiple stopping ; swing option ; jump diffusion process ; Snell envelop ; viscosity solution.;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-05 (All new papers)
- NEP-MIC-2011-12-05 (Microeconomics)
- NEP-ORE-2011-12-05 (Operations Research)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- René Carmona & Nizar Touzi, 2008. "Optimal Multiple Stopping And Valuation Of Swing Options," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 239-268.
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