GAHUNGU, Joachim; SMEERS, Yves - Center for Operations Research and Econometrics (CORE), … - 2011
This paper considers the general problem of optimal timing of the exchange of the sum of n Ito-diffusions for the sum of m others (e.g., the optimal time to exchange a geometric Brownian motion for a geometric mean reverting process). We first contribute to the literature by providing analytical...