On the optimal exercise boundaries of swing put options

Tiziano De Angelis and Yerkin Kitapbayev

Papers from arXiv.org

Abstract: We use probabilistic methods to characterise time dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications we consider a payoff of immediate stopping of "put" type and the underlying dynamics follows a geometric Brownian motion. The optimal stopping region relative to each optimal stopping time is described in terms of two boundaries which are continuous, monotonic functions of time and uniquely solve a system of coupled integral equations of Volterra-type. Finally we provide a formula for the value function of the problem.

Date: 2014-07, Revised 2017-01
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Citations: View citations in EconPapers (3)

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