A bilevel programming approach to double optimal stopping

作者：Makasu Cloud^*

来源：Applied Mathematics and Computation, 2014, 238: 393-396.

DOI：10.1016/j.amc.2014.04.024

• Bilevel programming problem
• Double optimal stopping problem
• Integral options

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.

• 出版日期2014-7-1