Optimal buying at the global minimum in a regime switching model

DOI10.1016/J.MATHSOCSCI.2016.08.005MaRDI QIDQ502365zbMATH OpenOpenAlexFDO

Authors 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

regime switching modeloptimal stoppingasset purchaseglobally minimal pricestochastic recursive algorithm

Mathematics Subject Classification ID

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

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Cited in

(3)

• A recursive algorithm for selling at the ultimate maximum in regime-switching models
• Selling at the ultimate maximum in a regime-switching model
• A new method of valuing American options based on Brownian models

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