Amina Bouzguendazeghal's scientific contributions

Publication (1)

Article
In this paper, we extend the results of Carmona and Touzi [6] for an optimal multiple stopping problem to a market where the price process is allowed to jump. We also generalize the problem of valuation swing options to the context of a Lévy market. We prove the existence of multiple exercise policies under an additional condition on Snell envelops...

Citations

... ey used the theory of the Snell envelope to determine the optimal exercise boundaries. Zeghal and Mnif in [9] extended the latter method to Lévy processes for valuing swing options. Ben Latifa et al. in [10] valued swing options with the jump in price process. ...