Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model

This paper develops optimal selling rules in asset trading using a regime-switching exponential Gaussian diffusion model. The optimization problem is solved by a combined approach of boundary value problems and probabilistic analysis. A system of linear differential equations with variable coefficie...

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Veröffentlicht in:	SIAM journal on applied mathematics 2008-01, Vol.69 (3), p.810-829
Hauptverfasser:	Eloe, P., Llu, R. H., Yatsuki, M., Yin, G., Zhang, Q.
Format:	Artikel
Sprache:	eng
Schlagworte:	Algorithms Applied mathematics Approximation Boundary conditions Boundary value problems Brownian motion Differential equations Interest rates Markov analysis Markov chains Mathematics Monte Carlo simulation Objective functions Optimization techniques Prices Real numbers Stopping distances Uniqueness Volatility
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