English, Article edition: OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÃVY MODELS AMINA BOUZGUENDA ZEGHAL; MOHAMED MNIF

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Physical Description
  • article
Language
  • English

Edition details

Title
  • OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS IN LÃVY MODELS
Author
  • AMINA BOUZGUENDA ZEGHAL
  • MOHAMED MNIF
Physical Description
  • article
Notes
  • In this paper, we extend the results of Carmona and Touzi [6] for an optimal multiple stopping problem to a market where the price process is allowed to jump. We also generalize the problem of valuation swing options to the context of a Lévy market. We prove the existence of multiple exercise policies under an additional condition on Snell envelops. This condition emerges naturally in the case of Lévy processes. Then, we give a constructive solution for perpetual put swing options when the price process has no negative jumps. We use the Monte Carlo approximation method based on Malliavin calculus in order to solve the finite horizon case. Numerical results are given in the last two sections. We illustrate the theoretical results of the perpetual case and give the numerical solution for the finite horizon case.
  • Multiple optimal stopping, Snell envelop, American option, Lévy processes, Malliavin calculus
  • RePEc:wsi:ijtafx:v:09:y:2006:i:08:p:1267-1297
Language
  • English
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