On the optimal exercise boundaries of swing put options

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.