A bilevel programming approach to double optimal stopping

被引：1
|
作者：
Makasu, Cloud [1 ]
机构：
[1] Univ Western Cape, Dept Maths & Appl Maths, ZA-7535 Bellville, South Africa
来源：
APPLIED MATHEMATICS AND COMPUTATION | 2014年 / 238卷
关键词：
Bilevel programming problem; Double optimal stopping problem; Integral options;
D O I：
10.1016/j.amc.2014.04.024
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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. (C) 2014 Elsevier Inc. All rights reserved.
引用
收藏
页码：393 / 396
页数：4
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