General undiscounted nonlinear optimal multiple stopping of linear diffusions with boundary classification
by Noureddine Jilani Ben Naouara; Faouzi Trabelsi
International Journal of Mathematics in Operational Research (IJMOR), Vol. 7, No. 6, 2015

Abstract: This paper presents an extension of recent works by Trabelsi and Zoghlami (2012) and Trabelsi (2013), on the resolution of undiscounted optimal multiple stopping times problem for regular linear diffusion, which may be viewed as a generalisation of Swing options in the energy market. In the above papers, the underlying is thought as either an asset price or a spot interest rate, but is restricted to a closed interval whose upper bound is absorbing. A fixed absorbing upper boundary does not sound mathematically interesting. In the presence of state regulations or central bank policies, for example, the asset price or the spot interest rate may not be allowed to exceed a cap value, but then the cap value should act not as an absorbing boundary, but rather as a natural, entrance boundary. We therefore extend the above works to include all possible boundary classifications of the endpoints of the state space. As application, we propose a new class of compound options, referred as call on a swing options, in a Bessel market model.

Online publication date: Thu, 08-Oct-2015

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Mathematics in Operational Research (IJMOR):
Login with your Inderscience username and password:

    Username:        Password:         

Forgotten your password?


Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com