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Study of undiscounted non-linear optimal multiple stopping problems on unbounded intervals

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  • Faouzi Trabelsi

Abstract

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 [ε,∞), where ε > 0 is a given lower bound.

Suggested Citation

  • Faouzi Trabelsi, 2013. "Study of undiscounted non-linear optimal multiple stopping problems on unbounded intervals," International Journal of Mathematics in Operational Research, Inderscience Enterprises Ltd, vol. 5(2), pages 225-254.
    • Handle: RePEc:ids:ijmore:v:5:y:2013:i:2:p:225-254
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