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

页码：1000 / 1005

页数：6

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