On the Optimal Exercise Boundaries of Swing Put Options

• 成果类型: Article
• 署名作者: De Angelis, Tiziano; Kitapbayev, Yerkin
• 署名单位: University of Leeds; Boston University
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.2017.0862
• 发表日期: 2018
• 页码: 252-274
• 关键词: Valuation; time

摘要

We use probabilistic methods to characterise time-dependent optimal stopping boundaries in a problem of multiple optimal stopping on a finite time horizon. Motivated by financial applications, we consider a payoff of immediate stopping of put type, and the underlying dynamics follows a geometric Brownian motion. The optimal stopping region relative to each optimal stopping time is described in terms of two boundaries, which are continuous, monotonic functions of time and uniquely solve a system of coupled integral equations of Volterra-type. Finally, we provide a formula for the value function of the problem.