Selling at the ultimate maximum in a regime switching model
Probability
2016-06-27 v2
Abstract
This paper deals with optimal prediction in a regime-switching model driven by a continuous-time Markov chain. We extend existing results for geometric Brownian motion by deriving optimal stopping strategies that depend on the current regime state, and prove a number of continuity properties relating to optimal value and boundary functions. Our approach replaces the use of closed form expressions, which are not available in our setting, with PDE arguments that also simplify the approach of [2] in the classical Brownian case.
Cite
@article{arxiv.1508.06770,
title = {Selling at the ultimate maximum in a regime switching model},
author = {Yue Liu and Nicolas Privault},
journal= {arXiv preprint arXiv:1508.06770},
year = {2016}
}