Numerical methods for an optimal multiple stopping problem.
Authors
Publication date
- LATIFA Imene ben
- BONNANS Joseph frederic
- MNIF Mohamed
2016
Publication type
Journal Article
Summary
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
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