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In this paper we discuss the optimal liquidation over a finite time horizonuntil the exit time. The drift and diffusion terms of the asset price aregeneral functions depending on all variables including control and marketregime. There is also a local nonlinear transaction cost associated to theliquidation. The model deals with both the permanent impact and the temporaryimpact in a regime switching framework. The problem can be solved with thedynamic programming principle. The optimal value function is the uniquecontinuous viscosity solution to the HJB equation and can be computed with thefinite difference method.

Optimal Liquidation in a Finite Time Regime Switching Model with Permanent and Temporary Pricing Impact