Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model

DOI10.1137/060652671MaRDI QIDQ3631945zbMATH OpenOpenAlexFDO

Authors Paul W. Eloe, M. Yatsuki, Ruihua Liu, G. Yin, Q. Zhang

Publication date 22 June 2009

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/91fd2c6ffe3341b7895fbf12d9e7e3d75eda3f8e

zbMATH Keywords

boundary value problemGaussian diffusionMarkov chainoptimal selling ruleprofit targetregime-switchingstochastic recursive algorithmstop-loss

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27) Stochastic approximation (62L20) Portfolio theory (91G10)

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• An optimal trading rule under a switchable mean-reversion model
• Convergence rates of trinomial tree methods for option pricing under regime-switching models
• Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
• Trading a mean-reverting asset: buy low and sell high
• A lattice method for option pricing with two underlying assets in the regime-switching model
• Optimal switching strategy of a mean-reverting asset over multiple regimes
• Divergent perpetuities modulated by regime switches
• Selling at the ultimate maximum in a regime-switching model
• Optimal selling rules for monetary invariant criteria: tracking the maximum of a portfolio with negative drift
• Extremal behaviour of optimal sale moments for an asset whose price satisfies Ito's diffusion equation
• Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies
• Analytic value function for optimal regime-switching pairs trading rules
• Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
• A SWITCHING MODEL OF DYNAMIC ASSET SELLING PROBLEM
• A Near-Optimal Selling Rule for a Two-Time-Scale Market Model
• Optimal Trading Of An Asset In The Open Market: A Dynamic Programming Approach
• Buying and selling an asset over the finite time horizon: a non-parametric approach
• Optimal selling rule in a regime switching Lévy market
• Pairs trading under a mean reversion model with regime switching
• A mean reversion selling rule with constraints
• A viscosity solution method for optimal stopping problems with regime switching

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