Optimal multiple stopping problem and financial applications
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References listed on IDEAS
- Amina Bouzguenda Zeghal & Mohamed Mnif, 2006. "Optimal Multiple Stopping And Valuation Of Swing Options In Lévy Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(08), pages 1267-1297.
- René Carmona & Nizar Touzi, 2008. "Optimal Multiple Stopping And Valuation Of Swing Options," Mathematical Finance, Wiley Blackwell, vol. 18(2), pages 239-268, April.
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Cited by:
- Tiziano De Angelis & Yerkin Kitapbayev, 2014. "On the optimal exercise boundaries of swing put options," Papers 1407.6860, arXiv.org, revised Jan 2017.
- Tiziano De Angelis & Yerkin Kitapbayev, 2018. "On the Optimal Exercise Boundaries of Swing Put Options," Mathematics of Operations Research, INFORMS, vol. 43(1), pages 252-274, February.
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More about this item
Keywords
Optimal multiple stopping; swing option; jump diffusion process; Snell envelop; viscosity solution.; viscosity solution;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MIC-2011-12-05 (Microeconomics)
- NEP-ORE-2011-12-05 (Operations Research)
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