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On undiscounted non-linear optimal multiple stopping

Author

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  • Faouzi Trabelsi
  • Mootassam Belleh Zoghlami

Abstract

We study and formulate an undiscounted non-linear optimal multiple stopping problem, with an application to the valuation of the perpetual American-style discretely monitored Asian options. When the reward process is continuous, we follow a vector-valued approach. Under the right-continuity of this process, the problem can be reduced to a sequence of ordinary optimal stopping problems. In the Markovian case, we characterise the value function of the problem in terms of excessive functions. Finally, in case of a regular diffusion, we provide an optimal sequence of stopping times. The results are illustrated by some examples, where the value function of the problem is given explicitly.

Suggested Citation

  • Faouzi Trabelsi & Mootassam Belleh Zoghlami, 2012. "On undiscounted non-linear optimal multiple stopping," International Journal of Operational Research, Inderscience Enterprises Ltd, vol. 14(4), pages 387-416.
    • Handle: RePEc:ids:ijores:v:14:y:2012:i:4:p:387-416
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