The right time to sell a stock whose price is driven by Markovian noise

Annals of Applied Probability

Volumn 14, Issue 4, 2004, Pages 2176-2201

  Dalang, Robert C ^a   Hongler, M O ^a  

^a EPFL   (Switzerland)

Author keywords

Optimal stopping; Piecewise deterministic Markov process; Principle of smooth fit; Telegrapher's noise

Indexed keywords

EID: 26844476483     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/105051604000000747     Document Type: Article

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