Optimal Selling Rule in a Regime Switching Lévy Market
نویسندگان
چکیده
منابع مشابه
Optimal Selling Rule in a Regime Switching Lévy Market
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...
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ژورنال
عنوان ژورنال: International Journal of Mathematics and Mathematical Sciences
سال: 2011
ISSN: 0161-1712,1687-0425
DOI: 10.1155/2011/264603