publication . Article . 2011

Optimal Selling Rule in a Regime Switching Lévy Market

Moustapha Pemy;
Open Access English
  • Published: 01 Jan 2011 Journal: International Journal of Mathematics and Mathematical Sciences (issn: 0161-1712, eissn: 1687-0425, Copyright policy)
  • Publisher: Hindawi Limited
<jats:p>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 obtained by solving an optimal stopping problem. The corresponding value function is shown to be the unique viscosity solution to the associated HJB variational inequalities. A numerical example is presented to illustrate the results.</jats:p>
arXiv: Computer Science::Computer Science and Game Theory
free text keywords: Mathematics, QA1-939, Article Subject, Mathematics (miscellaneous), Mathematical economics, Hamilton–Jacobi–Bellman equation, Viscosity solution, Optimal stopping, Lévy process, Database transaction, Bellman equation, Variational inequality, Markov chain, Actuarial science

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