Document Type
Article
Publication Date
2008
Publication Source
SIAM Journal on Applied Mathematics
Abstract
This paper develops optimal selling rules in asset trading using a regime-switching exponential Gaussian diffusion model. The optimization problem is solved by a combined approach of boundary value problems and probabilistic analysis. A system of linear differential equations with variable coefficients and two-point boundary conditions, satisfied by the objective function of the problem, is derived. The existence and uniqueness of the solution are proved. A closed-form solution in terms of Weber functions is obtained for one-dimensional cases. For m-dimensional cases, a stochastic recursive algorithm for numerically searching the optimal value is developed. Numerical results are reported.
Inclusive pages
810-829
ISBN/ISSN
0036-1399
Document Version
Published Version
Volume
69
Issue
3
Peer Reviewed
yes
eCommons Citation
Eloe, Paul W.; Liu, R. H.; and Yatsuki, Masako, "Optimal selling rules in a regime-switching exponential Gaussian diffusion model" (2008). Mathematics Faculty Publications. 117.
https://ecommons.udayton.edu/mth_fac_pub/117
Comments
This document is made available in compliance with the publisher's policy on self-archiving or with the express permission of the publisher. Permission documentation is on file.