An explicit solution to an optimal stopping problem with regime switching
From MaRDI portal
Publication:2748440
DOI10.1239/jap/996986756zbMath0988.60038OpenAlexW1974769456MaRDI QIDQ2748440
Publication date: 22 July 2002
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/6f5652ad4b16d21addc011c496797675d94e8d1b
Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Sequential statistical analysis (62L10)
Related Items (57)
A Pricing Process with Stochastic Volatility Controlled by a Semi-Markov Process ⋮ First passage time and mean exit time for switching Brownian motion ⋮ Pricing exotic options in a regime switching economy: a Fourier transform method ⋮ A viscosity solution method for optimal stopping problems with regime switching ⋮ Ergodicity and first passage probability of regime-switching geometric Brownian motions ⋮ An optimal stopping problem for spectrally negative Markov additive processes ⋮ Analytic value function for optimal regime-switching pairs trading rules ⋮ Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance ⋮ Optimal stopping with information constraint ⋮ On the First Passage Time Under Regime-Switching with Jumps ⋮ VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK ⋮ Valuation of the prepayment option of a perpetual corporate loan ⋮ Stock loan valuation under a regime-switching model with mean-reverting and finite maturity ⋮ Discounted optimal stopping problems in continuous hidden Markov models ⋮ Optimal investment decision under switching regimes of subsidy support ⋮ Perpetual American maximum options with Markov-modulated dynamics ⋮ Optimal stopping and impulse control in the presence of an anticipated regime switch ⋮ Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty ⋮ Some explicit expressions for GBM with Markovian switching and parameter estimations ⋮ Real options approach for fashionable and perishable products using stock loan with regime switching ⋮ A recursive algorithm for selling at the ultimate maximum in regime-switching models ⋮ ON SOME FUNCTIONALS OF THE FIRST PASSAGE TIMES IN MODELS WITH SWITCHING STOCHASTIC VOLATILITY ⋮ Moment based regression algorithms for drift and volatility estimation in continuous-time Markov switching models ⋮ Perpetual American options with fractional Brownian motion ⋮ Portfolio selection with jumps under regime switching ⋮ SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL ⋮ Pricing and managing risks of European-style options in a Markovian regime-switching binomial model ⋮ Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process ⋮ A correction note on: ``When the `bull' meets the `bear' -- a first passage time problem for a hidden Markov process ⋮ Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching ⋮ Perpetual American vanilla option pricing under single regime change risk: an exhaustive study ⋮ Exit problems in regime-switching models ⋮ Stochastic impulse control with regime switching for the optimal dividend policy when there are business cycles, taxes and fixed costs ⋮ Optimal consumption and portfolio under inflation and Markovian switching ⋮ First-passage times of regime switching models ⋮ FOURIER SPACE TIME-STEPPING ALGORITHM FOR VALUING GUARANTEED MINIMUM WITHDRAWAL BENEFITS IN VARIABLE ANNUITIES UNDER REGIME-SWITCHING AND STOCHASTIC MORTALITY ⋮ Stochastic Integrals and Conditional Full Support ⋮ Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach ⋮ Irreversible investment with regime shifts ⋮ Classical and singular stochastic control for the optimal dividend policy when there is regime switching ⋮ A stochastic approximation algorithm for option pricing model calibration with a switchable market ⋮ Estimating models based on Markov jump processes given fragmented observation series ⋮ Structural pricing of CoCos and deposit insurance with regime switching and jumps ⋮ Stopping at the maximum of geometric Brownian motion when signals are received ⋮ On perpetual American put valuation and first-passage in a regime-switching model with jumps ⋮ Optimal stopping of switching diffusions with state dependent switching rates ⋮ On an optimal extraction problem with regime switching ⋮ A stochastic target formulation for optimal switching problems in finite horizon ⋮ Optimal stopping games in models with various information flows ⋮ Pairs-trading under geometric Brownian motions: an optimal strategy with cutting losses ⋮ EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING ⋮ Default probability of American lookback option in a mixed jump-diffusion model ⋮ REAL OPTIONS WITH PRICED REGIME-SWITCHING RISK ⋮ Russian and American put options under exponential phase-type Lévy models. ⋮ A useful extension of Itô's formula with applications to optimal stopping ⋮ Discounted Optimal Stopping Problems for Maxima of Geometric Brownian Motions With Switching Payoffs ⋮ PREPAYMENT OPTION OF A PERPETUAL CORPORATE LOAN: THE IMPACT OF THE FUNDING COSTS
This page was built for publication: An explicit solution to an optimal stopping problem with regime switching
