A Near-Optimal Selling Rule for a Two-Time-Scale Market Model

DOI10.1137/040606338zbMath1108.91031OpenAlexW2050086017MaRDI QIDQ5695924

Qing Zhang, G. George Yin, Ruihua Liu

Publication date: 6 October 2005

Published in: Multiscale Modeling & Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/040606338

zbMATH Keywords

regime switchinggeometric Brownian motionmultiscale modelingselling rulenear optimality

Mathematics Subject Classification ID

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

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