Optimal Time to Exchange Two Baskets

Katsumasa Nishide · L. C. G. Rogers

15 citations0/0 files storedJournal of Applied Probability

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Stochastic processes and financial applications Probability and Risk Models Optimization and Search Problems

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.

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References

1982The Value of Waiting to Invest 1998Optimal time to invest when the price processes are geometric Brownian motions 2011A harmonic function technique for the optimal stopping of diffusions 1992On optimal timing of investment when cost components are additive and follow geometric diffusions

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