Optimal multiple stopping problem and financial applications
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References listed on IDEAS
- 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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- Tiziano De Angelis & Yerkin Kitapbayev, 2014. "On the optimal exercise boundaries of swing put options," Papers 1407.6860, arXiv.org, revised Jan 2017.
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Keywordsviscosity solution; Optimal multiple stopping; swing option; jump diffusion process; Snell envelop; viscosity solution.;
NEP fieldsThis 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)
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