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• W3100208880 abstract "We consider the problem of finding the optimal time to sell a stock, subject to a fixed sales cost and an exponential discounting rate ρ. We assume that the price of the stock fluctuates according to the equation dYt=Yt(μ dt+σξ(t) dt), where (ξ(t)) is an alternating Markov renewal process with values in {±1}, with an exponential renewal time. We determine the critical value of ρ under which the value function is finite. We examine the validity of the “principle of smooth fit” and use this to give a complete and essentially explicit solution to the problem, which exhibits a surprisingly rich structure. The corresponding result when the stock price evolves according to the Black and Scholes model is obtained as a limit case." @default.
• W3100208880 created "2020-11-23" @default.
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• W3100208880 date "2004-11-01" @default.
• W3100208880 modified "2023-09-28" @default.
• W3100208880 title "The right time to sell a stock whose price is driven by Markovian noise" @default.
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• W3100208880 doi "https://doi.org/10.1214/105051604000000747" @default.
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