Numerical methods for an optimal multiple stopping problem

被引：2

作者：

Ben Latifa, Imene ^{[1
]}

Bonnans, Joseph Frederic ^{[2
]}

Mnif, Mohamed ^{[1
]}

机构：

[1] Univ Tunis El Manar, ENIT LAMSIN, BP 37, Tunis 1002, Tunisia

[2] Ecole Polytech CMAP, F-91128 Palaiseau, France

来源：

STOCHASTICS AND DYNAMICS | 2016年 / 16卷 / 05期

关键词：

Quantization; swing option; optimal multiple stopping time problem; QUANTIZATION;

D O I：

10.1142/S0219493716500167

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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.

引用

页数：27

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