Optimal Stock Liquidation Under the Liquidity Factor Characterized by Mean Reverting Model

被引：0
|
作者：
Li, Chunye [1 ]
Bian, Baojun [1 ]
机构：
[1] Tongji Univ, Sch Math Sci, Shanghai 200092, Peoples R China
来源：
2018 37TH CHINESE CONTROL CONFERENCE (CCC) | 2018年
关键词：
Mean Reverting; Optimal Stock Liquidation; Optimal Stochastic Control; Constraint Viscosity Solution;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
This paper considers the optimal exercise decision for selling a large block of stocks, which price is decreased for the liquidity reasons. Mean reverting process is been used to describe the market liquidity factor. The stock price follows a geometric Brownian motion, and is characterised by a stochastic price impact function related to the market liquidity factor. Using dynamic programming principle, the Hamilton-Jacobi-Bellman (HJB) equation is given. In the constraint viscosity solution flame, we obtain the comparison principle and the uniqueness. Finally, the numerical simulation is discussed.
引用
收藏
页码：1000 / 1005
页数：6
相关论文
共 50 条
12345