A recursive algorithm for selling at the ultimate maximum in regime-switching models (Q1703034)
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scientific article; zbMATH DE number 6845835
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| English | A recursive algorithm for selling at the ultimate maximum in regime-switching models |
scientific article; zbMATH DE number 6845835 |
Statements
A recursive algorithm for selling at the ultimate maximum in regime-switching models (English)
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1 March 2018
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optimal stopping
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Markovian regime switching
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non-monotone free boundary
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recursive approximation
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0.8184280395507812
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0.7956088185310364
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0.7894161343574524
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0.7870095372200012
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0.7613704800605774
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