Optimal double stopping time

Magdalena Kobylanski, Marie-Claire Quenez and Elisabeth Rouy-Mironescu
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Magdalena Kobylanski: LAMA
Marie-Claire Quenez: PMA
Elisabeth Rouy-Mironescu: ICJ

Papers from arXiv.org

Abstract: We consider the optimal double stopping time problem defined for each stopping time $S$ by $v(S)=\esssup\{E[\psi(\tau_1, \tau_2) | \F_S], \tau_1, \tau_2 \geq S \}$. Following the optimal one stopping time problem, we study the existence of optimal stopping times and give a method to compute them. The key point is the construction of a {\em new reward} $\phi$ such that the value function $v(S)$ satisfies $v(S)=\esssup\{E[\phi(\tau) | \F_S], \tau \geq S \}$. Finally, we give an example of an american option with double exercise time.

Date: 2009-09
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0909.3363

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