科研之友
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摘要
This work provides an optimal trading rule that allows buying, selling and short selling of an asset when its price is governed by mean-reverting model. The goal is to find the buy and sell prices such that the overall return (with slippage cost imposed) is maximized. The associated HJB equations (variational inequalities) are used to characterize the value functions. This paper shows that the solution of the original optimal stopping problem can be achieved by solving four algebraic equations. Numerical examples are given for demonstration.
- 出版日期2010-11
