Optimal Stopping For Selling A Stock Based On A Generalized Black-Scholes' Model With Regime-switching

This paper deals with how to choose an optimal stopping time for selling a stock based on a generalized Black-Scholes' model with regime-switching. This problem can be deduced to an optimal stopping problem with the objective to select the optimal stopping strategy over all admissible stopping strategies, under which the investor may maximize his profit under given conditions, i.e., (?) reaches its minimum, where X(t) denotes the stock price. This study extends the existing results based on the price process described by geometric Brownian motion.