A Convex Optimization Approach to Multiple Stopping: Pricing Chooser Caps and Swing Options

Abstract

In this current work, we generalize the recent Pathwise Optimization approach of Desai et al. [11] to Multiple stopping problems. The approach also minimizes the dual bound as in Desai et al. [11] to find the best approximation architecture for the Multiple stopping problem. Though, we establish the convexity of the dual operator, in this setting as well… (More)

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