De Angelis, T and Kitapbayev, Y (2018) On the optimal exercise boundaries of swing put options. Mathematics of Operations Research, 43 (1). pp. 252-274. ISSN 0364-765X
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2017, INFORMS. This is an author produced version of a paper published in Mathematics of Operations Research. Uploaded in accordance with the publisher's self-archiving policy. |
Keywords: | optimal multiple stopping; free-boundary problems; swing options; American put option |
Dates: |
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Institution: | The University of Leeds |
Academic Units: | The University of Leeds > Faculty of Engineering & Physical Sciences (Leeds) > School of Mathematics (Leeds) > Statistics (Leeds) |
Depositing User: | Symplectic Publications |
Date Deposited: | 03 Mar 2017 12:01 |
Last Modified: | 05 Sep 2018 00:38 |
Status: | Published |
Publisher: | INFORMS (Institute for Operations Research and Management Sciences) |
Identification Number: | 10.1287/moor.2017.0862 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:113054 |