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

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  • 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.
    Mathematics Subject Classification: Primary: 93E20, 49J55, 49K45, 49L20; Secondary: 60G40, 60G50, 60J70.


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