Optimal double stopping time
Résumé
We consider the optimal double stopping time problem defined for each stopping time $S$ by $v(S)=\esssup\{\, E[\psi(\tau_1, \tau_2)\, |\,\F_S], \tau_1, \tau_2 \geq S\,\}$. Following the optimal one stopping time problem, we study the existence of optimal stopping times and give a method to compute them. The key point is the construction of a {\em new reward} $\phi$ such that the value function $v(S)$ satisfies $v(S)=\esssup\{\, E[\phi(\tau)\, |\,\F_S], \tau \geq S\,\}$. Finally, we give an example of an american option with double exercise time.
Origine : Fichiers produits par l'(les) auteur(s)
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