On the optimal exercise boundaries of swing put options
Year of publication: |
February 2018
|
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Authors: | De Angelis, Tiziano ; Kitapbayev, Yerkin |
Published in: |
Mathematics of operations research. - Catonsville, MD : INFORMS, ISSN 0364-765X, ZDB-ID 195683-8. - Vol. 43.2018, 1, p. 252-274
|
Subject: | optimal multiple stopping | free-boundary problems | swing options | American put option | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Derivat | Derivative | Aktienoption | Stock option |
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