Optimal Selling Strategies under Regime-Switching Market Environment with Finite Expiry
Work
Year: 2021
Type: article
Abstract: This paper addresses an optimal stock liquidation problem over a finite-time horizon; to that end, we model it as an optimal stopping problem in a regime-switching market. The optimal stopping time is... more
Authors Jie Xing, Taoshun He
Cites: 19
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Related to: 10
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Subfield: Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $2,300