A bilevel programming approach to double optimal stopping

A bilevel programming approach to double optimal stopping

This paper treats a class of double optimal stopping problems arising in the pricing of integral options. Under certain conditions, we give an explicit form of the double stopping time for such type of optimal stopping problems. The present results are essentially derived by solving a certain nonlin...

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Veröffentlicht in:Applied mathematics and computation 2014-07, Vol.238, p.393-396
1. Verfasser: Makasu, Cloud
Format: Artikel
Sprache:eng
Schlagworte:
Bilevel programming problem
Computation
Double optimal stopping problem
Integral options
Integrals
Mathematical models
Nonlinearity
Optimization
Pricing
Programming
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Zusammenfassung:This paper treats a class of double optimal stopping problems arising in the pricing of integral options. Under certain conditions, we give an explicit form of the double stopping time for such type of optimal stopping problems. The present results are essentially derived by solving a certain nonlinear bilevel programming problem explicitly.
ISSN:0096-3003
1873-5649
DOI:10.1016/j.amc.2014.04.024