Optimal stock liquidation in a regime switching model with finite time horizon

DOI10.1016/j.jmaa.2005.08.034zbMath1160.91359OpenAlexW2095089548MaRDI QIDQ2496679

Qing Zhang, Moustapha Pemy

Publication date: 20 July 2006

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2005.08.034

zbMATH Keywords

viscosity solutionMarkovian switchingoptimal selling

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Portfolio theory (91G10)

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• Lectures on the Mathematics of Finance
• Optimal selling rules in a regime switching model
• Option pricing when underlying stock returns are discontinuous
• Stochastic differential equations. An introduction with applications.

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