Giandomenico, M.Pınar, Mustafa Ç.2018-04-122018-04-1220170884-8289http://hdl.handle.net/11693/38367We consider the problem of computing the lower hedging price of American options of the call and put type written on a non-dividend paying stock in a non-recombinant tree model with multiple exercise rights. We prove using a simple argument that an optimal exercise policy for an option with h exercise rights is to delay exercise until the last h periods. The result implies that the mixedinteger programming model for computing the lower hedging price and the optimal exercise and hedging policy has a linear programming relaxation that is exact, i.e., the relaxation admits an optimal solution where all variables required to be integral have integer values. © Springer International Publishing Switzerland 2017.EnglishAmerican optionsLinear programmingLower hedging priceMixed-integer programmingMultiple exercise rightsSwing optionsBook Chapter10.1007/978-3-319-41613-7_6