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1 results

  • Optimal Time to Exchange Two Baskets

  • Part of
  • Katsumasa Nishide, L. C. G. Rogers
  • Journal:
    Journal of Applied Probability / Volume 48 / Issue 1 / March 2011
    Published online by Cambridge University Press:
    14 July 2016, pp. 21-30
    Print publication:
    March 2011
    • Article
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  • 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.