Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model (Q3631945)
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scientific article; zbMATH DE number 5567342
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| English | Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model |
scientific article; zbMATH DE number 5567342 |
Statements
Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model (English)
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22 June 2009
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optimal selling rule
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Markov chain
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regime-switching
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Gaussian diffusion
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boundary value problem
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stochastic recursive algorithm
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stop-loss
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profit target
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0.826321542263031
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0.8131311535835266
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0.812910258769989
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0.8108255863189697
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0.8082314729690552
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