Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs

DOI10.1080/15326349.2015.1058717zbMath1337.60074arXiv1504.04682OpenAlexW3124948238MaRDI QIDQ3458137

Zheng Wang, Xin Li, Tim Leung

Publication date: 8 December 2015

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.04682

zbMATH Keywords

transaction costsoptimal switchingexponential Ornstein-Uhlenbeck processoptimal double stopping

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Optimal stopping in statistics (62L15) Portfolio theory (91G10)

Related Items (9)

Speculative futures trading under mean reversion ⋮ An optimal multiple stopping approach to infrastructure investment decisions ⋮ Optimal mean-reverting spread trading: nonlinear integral equation approach ⋮ Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics ⋮ Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty ⋮ MEAN REVERSION TRADING WITH SEQUENTIAL DEADLINES AND TRANSACTION COSTS ⋮ Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations ⋮ Optimal trading with a trailing stop ⋮ Speculative trading, prospect theory and transaction costs

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