Optimal selling rule in a regime switching Lévy market
type: Item
instance of: scholarly article
title: Optimal selling rule in a regime switching Lévy market
zbMATH Open document ID: 1220.91036
DOI: 10.1155/2011/264603
author: Moustapha Pemy
published in: International Journal of Mathematics and Mathematical Sciences
publication date: 2011-09-09T00:00:00Z
review text: Summary: This paper is concerned with a finite-horizon optimal selling rule problem when the underlying stock price movements are modeled by a Markov switching Lévy process. Assuming that the transaction fee of the selling operation is a function of the underlying stock price, the optimal selling rule can be obtained by solving an optimal stopping problem. The corresponding value function is shown to be the unique viscosity solution to the associated HJB variational inequalities. A numerical example is presented to illustrate the results.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 49L25
zbMATH DE Number: 5946474
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2011/264603
OpenAlex ID: W2073572288
Wikidata QID: Q58687701
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DBLP publication ID: journals/ijmmsc/Pemy11
description: scientific article; zbMATH DE number 5946474