We study the problem of hedging early exercise (American) options with respect to exponential utility within a general incomplete market model. This leads us to ...
A Finite Time Horizon Optimal Stopping Problem with Regime ...
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Oct 22, 2024 · Le and Wang [20] showed a computational procedure for a finite time horizon optimal stopping problem-it does not include the integral term and ...
The technique developed in Bayraktar's proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusion is extended to a class of ...
This paper concerns the optimal stopping problem in an infinite horizon for jump–diffusion processes with regime-switching.
TL;DR: In this paper, the optimal VIX futures trading problems under a regime-switching model were studied, where the VIX as mean reversion dynamics with ...
Optimal stock liquidation in a regime switching model with finite time horizon · An explicit solution to an optimal stopping problem with regime switching · An ...
Based on the optimal stopping analysis, an arbitrage-free price for Russian options under the hidden Markov model is derived. Keywords: Hidden Markov process; ...
This paper is concerned with a finite-horizon optimal investment and consumption problem in continuous-time regime-switching models.
Sep 8, 2018 · Mathematically, it is to solve, under certain standard assumptions, a general form of optimal stopping problems in regime-switching models. In ...
We consider a finite time horizon optimal stopping of a regime-switching Lévy process. We prove that the value function of the optimal stopping problem can ...