Selling at the ultimate maximum in a regime switching model

Yue Liu; Nicolas Privault

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arXiv · 1508.06770

Selling at the ultimate maximum in a regime switching model

Yue Liu·Nicolas Privault

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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.

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Yue Liu, Nicolas Privault. 2016-06-24. Selling at the ultimate maximum in a regime switching model. https://arxiv.org/abs/1508.06770

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