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December  2015, 5(4): 807-826. doi: 10.3934/mcrf.2015.5.807

## Generalization on optimal multiple stopping with application to swing options with random exercise rights number

 1 Département de Mathématiques, Institut Supérieur d'Informatique et de Mathématiques de Monastir, Avenue de la Korniche, B.P. 223, 5000 Monastir, Tunisia, Tunisia

Received  December 2014 Revised  April 2015 Published  October 2015

This paper develops the theory of optimal multiple stopping times expected value problems by stating, proving, and applying a dynamic programming principle for the case in which both the reward process and the number of stopping times are stochastic. This case comes up in practice when valuing swing options, which are somewhat common in commodity trading. We believe our results significantly advance the study of option pricing.
Citation: Noureddine Jilani Ben Naouara, Faouzi Trabelsi. Generalization on optimal multiple stopping with application to swing options with random exercise rights number. Mathematical Control & Related Fields, 2015, 5 (4) : 807-826. doi: 10.3934/mcrf.2015.5.807
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