Numerical methods for an optimal multiple stopping problem-Reference-Cited by-同舟云学术

Numerical methods for an optimal multiple stopping problem

Published:2016-07-15 Issue:05 Volume:16 Page:1650016
ISSN:0219-4937
Container-title:Stochastics and Dynamics
language:en
Short-container-title:Stoch. Dyn.

Author:

Latifa Imène Ben¹,Bonnans Joseph Fréderic²,Mnif Mohamed¹

Affiliation:

1. ENIT-LAMSIN, University of Tunis El Manar, B.P. 37, 1002 Tunis-Belvédère, Tunisia

2. Ecole Polytechnique-CMAP, 91128 Palaiseau Cedex, France

Abstract

This paper deals with numerical solutions to an optimal multiple stopping problem. The corresponding dynamic programing (DP) equation is a variational inequality satisfied by the value function in the viscosity sense. The convergence of the numerical scheme is shown by viscosity arguments. An optimal quantization method is used for computing the conditional expectations arising in the DP equation. Numerical results are presented for the price of swing option and the behavior of the value function.

Publisher

World Scientific Pub Co Pte Lt

Subject

Modelling and Simulation

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219493716500167

Reference12 articles.

1. A quantization algorithm for solving multidimensional discrete-time optimal stopping problems

2. A QUANTIZATION TREE METHOD FOR PRICING AND HEDGING MULTIDIMENSIONAL AMERICAN OPTIONS

3. Convergence of approximation schemes for fully nonlinear second order equations

4. Multidimensional asymptotic quantization theory with<tex>r</tex>th power distortion measures

5. OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

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