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Optimal Selling Rule in a Regime Switching Lévy Market
Author
Source
International Journal of Mathematics and Mathematical Sciences
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-28, 28 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-08-01
Country of Publication
Egypt
No. of Pages
28
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Pemy, Moustapha. 2011. Optimal Selling Rule in a Regime Switching Lévy Market. International Journal of Mathematics and Mathematical Sciences،Vol. 2011, no. 2011, pp.1-28.
https://search.emarefa.net/detail/BIM-458658
Modern Language Association (MLA)
Pemy, Moustapha. Optimal Selling Rule in a Regime Switching Lévy Market. International Journal of Mathematics and Mathematical Sciences No. 2011 (2011), pp.1-28.
https://search.emarefa.net/detail/BIM-458658
American Medical Association (AMA)
Pemy, Moustapha. Optimal Selling Rule in a Regime Switching Lévy Market. International Journal of Mathematics and Mathematical Sciences. 2011. Vol. 2011, no. 2011, pp.1-28.
https://search.emarefa.net/detail/BIM-458658
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-458658