OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS (Q5386316)
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scientific article; zbMATH DE number 5274472
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS |
scientific article; zbMATH DE number 5274472 |
Statements
OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS (English)
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14 May 2008
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multiple optimal stopping
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snell envelop
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American option
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Lévy processes
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Malliavin calculus
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