A Finite Time Horizon Optimal Stopping Problem with Regime Switching
From MaRDI portal
Publication:3083261
DOI10.1137/080739550zbMath1210.60042MaRDI QIDQ3083261
Publication date: 21 March 2011
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/080739550
60J25: Continuous-time Markov processes on general state spaces
60G40: Stopping times; optimal stopping problems; gambling theory
Related Items
Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point, A comparison of iterated optimal stopping and local policy iteration for American options under regime switching, Computing American option price under regime switching with rationality parameter, On the regularity of American options with regime-switching uncertainty, A viscosity solution method for optimal stopping problems with regime switching, A recursive algorithm for selling at the ultimate maximum in regime-switching models, A local radial basis function method for pricing options under the regime switching model, An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems, Asset liquidation under drift uncertainty and regime-switching volatility, Weakly Chained Matrices, Policy Iteration, and Impulse Control, SELLING AT THE ULTIMATE MAXIMUM IN A REGIME-SWITCHING MODEL