Optimal multiple stopping of linear Diffusions

• 成果类型: Article
• 署名作者: Carmona, Rene; Dayanik, Savas
• 署名单位: Princeton University; Princeton University
• 刊物名称: MATHEMATICS OF OPERATIONS RESEARCH
• ISSN/ISSBN: 0364-765X
• DOI: 10.1287/moor.1070.0301
• 发表日期: 2008
• 页码: 446-460
• 关键词: singular stochastic-control; valuation; connections

摘要

Motivated by the analysis of financial instruments with multiple exercise rights of American type and mean reverting underlyers, we formulate and solve the optimal multiple-stopping problem for a general linear regular diffusion process and a general reward function. Instead of relying on specific properties of geometric Brownian motion and call and put option payoffs as in most of the existing literature, we use general theory of optimal stopping for diffusions, and we illustrate the resulting optimal exercise policies by concrete examples and constructive recipes.