OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÉVY MODELS

DOI10.1142/S0219024906004037zbMath1139.60328MaRDI QIDQ5386316

Amina Zeghal, Mohammed Mnif

Publication date: 14 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Lévy processesMalliavin calculusAmerican optionmultiple optimal stoppingsnell envelop

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (10)

A General Optimal Multiple Stopping Problem with an Application to Swing Options ⋮ Optimal Multiple Stopping with Negative Discount Rate and Random Refraction Times under Lévy Models ⋮ AN ANALYTIC RECURSIVE METHOD FOR OPTIMAL MULTIPLE STOPPING: CANADIZATION AND PHASE-TYPE FITTING ⋮ A Direct Approach to the Solution of Optimal Multiple-Stopping Problems ⋮ Efficient pricing of swing options in Lévy-driven models ⋮ A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING ⋮ On the optimality of threshold type strategies in single and recursive optimal stopping under Lévy models ⋮ SWING OPTION PRICING BY DYNAMIC PROGRAMMING WITH B-SPLINE DENSITY PROJECTION ⋮ Resolvent-techniques for multiple exercise problems ⋮ Generalization on optimal multiple stopping with application to swing options with random exercise rights number

Cites Work

• Unnamed Item
• Optimal stopping for a diffusion with jumps
• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations

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