OPTIMAL MULTIPLE STOPPING AND VALUATION OF SWING OPTIONS

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Optimal multiple stopping time problem (2009, background): “and u((2))(θ) = ess supτ1∈TθE[ψ(τ1, θ) | Fθ] = u1(θ) a.”
Pricing Asset Scheduling Flexibility using Optimal Switching (2008, background): “For the LS scheme it has been shown that the use of optimal-stopping-time iteration in (31) is consistent, namely that, for a fixed NB, the asymptotic sampling error as NR‘ has mean zero and Gaussian distribution (Clément et al., 2002). This result was recently improved by Egloff (2005), who showed ”
Modelling spikes and pricing swing options in electricity markets (2009, methodology): “To overcome this, jumps can be added to the model; for example, the case 1⁄4 0 in our model, dXt 1⁄4 Xt dtþ dWt þ Jt dNt, St 1⁄4 expð f ðtÞ þ XtÞ: ð2Þ This model is briefly mentioned by Clewlow and Strickland (2000, section 2.8). Analytic results are given by Deng (2000) based on transform analysis ”