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.
On the optimal exercise boundaries of swing put options
De Angelis T.;
2018-01-01
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.File in questo prodotto:
File | Dimensione | Formato | |
---|---|---|---|
DeAngelis-Kitapbayev(2015)-Swing revised.pdf
Accesso aperto
Tipo di file:
POSTPRINT (VERSIONE FINALE DELL’AUTORE)
Dimensione
6.79 MB
Formato
Adobe PDF
|
6.79 MB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.