Journal of Applied Probability

Optimal time to exchange two baskets

Katsumasa Nishide and L. C. G. Rogers

Full-text: Access denied (no subscription detected)

We're sorry, but we are unable to provide you with the full text of this article because we are not able to identify you as a subscriber. If you have a personal subscription to this journal, then please login. If you are already logged in, then you may need to update your profile to register your subscription. Read more about accessing full-text

Abstract

In this paper we present simple extensions of earlier works on the optimal time to exchange one basket of log Brownian assets for another. A superset and subset of the optimal stopping region in the case where both baskets consist of multiple assets are obtained. It is also shown that a conjecture of Hu and Øksendal (1998) is false except in the trivial case where all the assets in a basket are the same processes.

Article information

Source
J. Appl. Probab., Volume 48, Number 1 (2011), 21-30.

Dates
First available in Project Euclid: 15 March 2011

Permanent link to this document
https://projecteuclid.org/euclid.jap/1300198133

Digital Object Identifier
doi:10.1239/jap/1300198133

Mathematical Reviews number (MathSciNet)
MR2809884

Zentralblatt MATH identifier
1213.60084

Subjects
Primary: 60G40: Stopping times; optimal stopping problems; gambling theory [See also 62L15, 91A60]
Secondary: 62L15: Optimal stopping [See also 60G40, 91A60] 93E20: Optimal stochastic control

Keywords
Log Brownian motion optimal stopping time continuation region convex hull

Citation

Nishide, Katsumasa; Rogers, L. C. G. Optimal time to exchange two baskets. J. Appl. Probab. 48 (2011), no. 1, 21--30. doi:10.1239/jap/1300198133. https://projecteuclid.org/euclid.jap/1300198133


Export citation

References

  • Christensen, S. and Irle, A. (2011). A harmonic-function technique for the optimal stopping diffusions. To appear in Stochastics.
  • Hu, Y. and Øksendal, B. (1998). Optimal time to invest when the price processes are geometric Brownian motions. Finance Stoch. 2, 295–310.
  • McDonald, R. and Siegel, D. (1986). The value of waiting to invest. Quart. J. Econom. 101, 707–728.
  • Olsen, T. E. and Stensland, G. (1992). On optimal timing of investment when cost components are additive and follow geometric Brownian diffusions. J. Econom. Dynamics Control 16, 39–51.