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...
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2011-01-01
|
| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/2011/264603 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| 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. |
|---|---|
| ISSN: | 0161-1712 1687-0425 |