Optimal Selling Rule in a Regime Switching Lévy Market
This paper is concerned with a finite-horizon optimal selling rule problem when the underlying stock price movements are modeled by a Markov switching Lévy process. Assuming that the transaction fee of the selling operation is a function of the underlying stock price, the optimal selling rule can be...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2011-01-01
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| Series: | International Journal of Mathematics and Mathematical Sciences |
| Online Access: | http://dx.doi.org/10.1155/2011/264603 |