Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics

DOI10.1007/s10436-018-0336-1zbMath1410.91499arXiv1610.08143OpenAlexW3121521619MaRDI QIDQ2422122

Zheng Wang, Tim Leung

Publication date: 18 June 2019

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.08143

zbMATH Keywords

variational inequalityoptimal stoppingcertainty equivalentasset sale

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Actuarial science and mathematical finance (91G99)

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Cites Work

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