Optimal buying at the global minimum in a regime switching model

Aijun Yang, Yue Liu, Ju Xiang and Hongqiang Yang ()

Mathematical Social Sciences, 2016, vol. 84, issue C, 50-55

Abstract: This paper addresses the problem of buying an asset at its expected globally minimal price, to that end, we model it as an optimal stopping problem with regime switching driven by a continuous-time Markov chain. We characterize the optimal stopping time by optimizing the value functions and writing them as solutions of a system of integral equations. Finally we develop a stochastic recursive algorithm for numerical implementation.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matsoc:v:84:y:2016:i:c:p:50-55

DOI: 10.1016/j.mathsocsci.2016.08.005

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