On the Optimal Exercise Boundaries of Swing Put Options
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Publication:5219294
DOI10.1287/moor.2017.0862zbMath1434.60119arXiv1407.6860OpenAlexW1488326122WikidataQ59885951 ScholiaQ59885951MaRDI QIDQ5219294
Tiziano De Angelis, Yerkin Kitapbayev
Publication date: 11 March 2020
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.6860
Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35)
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An analytical study of participating policies with minimum rate guarantee and surrender option ⋮ Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations ⋮ Optimal mean-reverting spread trading: nonlinear integral equation approach ⋮ Optimal stopping with private information ⋮ MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS ⋮ Analysis of the optimal exercise boundary of American put options with delivery lags ⋮ Optimal Hedging of a Perpetual American Put with a Single Trade ⋮ Valuation of swing options under a regime-switching mean-reverting model ⋮ A Class of Recursive Optimal Stopping Problems with Applications to Stock Trading
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