Optimal multiple stopping problem and financial applications

Imene Ben Latifa, Joseph Frederic Bonnans () and Mohamed Mnif
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Imene Ben Latifa: LR-LAMSIN-ENIT - Laboratoire de Modélisation Mathématique et Numérique dans les Sciences de l'Ingénieur [Tunis] - ENIT - Ecole Nationale d'Ingénieurs de Tunis - UTM - Tunis El Manar University [University of Tunis El Manar] [Tunisia] = Université de Tunis El Manar [Tunisie] = جامعة تونس المنار (ar)
Joseph Frederic Bonnans: Commands - Control, Optimization, Models, Methods and Applications for Nonlinear Dynamical Systems - CMAP - Centre de Mathématiques Appliquées de l'Ecole polytechnique - Inria - Institut National de Recherche en Informatique et en Automatique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique - Centre Inria de Saclay - Inria - Institut National de Recherche en Informatique et en Automatique, CMAP - Centre de Mathématiques Appliquées de l'Ecole polytechnique - Inria - Institut National de Recherche en Informatique et en Automatique - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique
Mohamed Mnif: LR-LAMSIN-ENIT - Laboratoire de Modélisation Mathématique et Numérique dans les Sciences de l'Ingénieur [Tunis] - ENIT - Ecole Nationale d'Ingénieurs de Tunis - UTM - Tunis El Manar University [University of Tunis El Manar] [Tunisia] = Université de Tunis El Manar [Tunisie] = جامعة تونس المنار (ar)

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Abstract: In their paper [2], Carmona and Touzi have studied an optimal multiple stopping time problem in a market where the price process is continuous. In this paper, we generalize their results when the price process is allowed to jump. Also, we generalize the problem associated to the valuation of swing options to the context of jump diffusion processes. Then we relate our problem to a sequence of ordinary stopping time problems. We characterize the value function of each ordinary stopping time problem as the unique viscosity solution of the associated Hamilton-Jacobi-Bellman Variational Inequality.

Keywords: Optimal multiple stopping; swing option; jump diffusion process; Snell envelop; viscosity solution.; viscosity solution (search for similar items in EconPapers)
Date: 2011-11-19
New Economics Papers: this item is included in nep-mic and nep-ore
Note: View the original document on HAL open archive server: https://inria.hal.science/hal-00642919v1
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Citations: View citations in EconPapers (2)

Published in [Research Report] RR-7807, INRIA. 2011, pp.30

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