SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL

DOI10.1142/S0219024917500182zbMath1396.91750arXiv1508.06770OpenAlexW2963695673MaRDI QIDQ2986670

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Publication date: 16 May 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.06770

zbMATH Keywords

optimal stoppingdiffusion processesfree boundary problemsregime-switching modelsultimate maximum

Mathematics Subject Classification ID

Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (4)

A new method of valuing American options based on Brownian models ⋮ A recursive algorithm for selling at the ultimate maximum in regime-switching models ⋮ SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL ⋮ Optimal selling strategies under regime-switching market environment with finite expiry

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