Optimal buying at the global minimum in a regime switching model

DOI10.1016/j.mathsocsci.2016.08.005zbMath1397.91579OpenAlexW2512651533MaRDI QIDQ502365

Yong-Cai Geng, Sumit K. Garg

Publication date: 5 January 2017

Published in: Mathematical Social Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mathsocsci.2016.08.005

zbMATH Keywords

optimal stoppingregime switching modelasset purchaseglobally minimal pricestochastic recursive algorithm

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

A new method of valuing American options based on Brownian models

Cites Work

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