When to Sell an Asset Where Its Drift Drops from a High Value to a Smaller One

• 作 者: Pham Van Khanh
• 机 构: InstituteofEconomicsandCorporateGroup
• 出 处: 美国运筹学期刊(英文)
• 发表日期: 2015年6期
• 关键词: Optimal STOPPING Time Posterior Probability Threshold Markov Chain Jump Times MA

To solve the selling problem which is resembled to the buying problem in [1], in this paper we solve the problem of determining the optimal time to sell a property in a location the drift of the asset drops from a high value to a smaller one at some rando