| Article ID: | iaor20142058 |
| Volume: | 238 |
| Start Page Number: | 393 |
| End Page Number: | 396 |
| Publication Date: | Jul 2014 |
| Journal: | Applied Mathematics and Computation |
| Authors: | Makasu Cloud |
| Keywords: | bilevel optimization, optimal stopping, option pricing, pricing, programming (bilevel) |
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.