A General Optimal Multiple Stopping Problem with an Application to Swing Options

DOI10.1080/07362994.2015.1037592zbMath1327.60098OpenAlexW1586127149MaRDI QIDQ3448337

Imène Ben Latifa, Mohammed Mnif, Joseph Frédéric Bonnans

Publication date: 23 October 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://hal.inria.fr/hal-01248283/file/A_general_optimal_multiple_stopping_problem_with_an_application_to_Swing_Options_final.pdf

zbMATH Keywords

viscosity solutionjump diffusion processesoptimal multiple stoppingSnell envelopeHamilton-Jacobi-Bellman variational inequalityswing options

Mathematics Subject Classification ID

Variational inequalities (49J40) Stochastic models in economics (91B70) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model ⋮ SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION ⋮ On the finite horizon optimal switching problem with random lag ⋮ Numerical methods for an optimal multiple stopping problem ⋮ A finite horizon optimal switching problem with memory and application to controlled SDDEs

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