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.
Citation
Katsumasa Nishide. L. C. G. Rogers. "Optimal time to exchange two baskets." J. Appl. Probab. 48 (1) 21 - 30, March 2011. https://doi.org/10.1239/jap/1300198133
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