An explicit solution to an optimal stopping problem with regime switching
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The author considers the problem of pricing Russian options for stock price fluctuations governed by a geometric Brownian motion with known drift and volatility parameters which depend on a two-state Markov chain. The corresponding optimal stopping problem is solved in closed form by an ingenious use of the smooth fit principle.
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- scientific article; zbMATH DE number 1867089 (Why is no real title available?)
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