Optimal stopping
Example
Selling stock with recalling prices.One should solve the problemHn$( 1 +r)T nmaxknξkXT = HT=maxnTξn=( 1 +r)T TmaxnTξn,
Xn = max(Hn,E(Xn+ 1 j Fn))== max( 1 +r)T nmaxknξk,E(Xn+ 1 j Fn)
greg delong
(Greg DeLong)
#1
Selling stock with recalling prices.One should solve the problemHn$( 1 +r)T nmaxknξkXT = HT=maxnTξn=( 1 +r)T TmaxnTξn,
Xn = max(Hn,E(Xn+ 1 j Fn))== max( 1 +r)T nmaxknξk,E(Xn+ 1 j Fn)