An optimal trading rule of a mean-reverting asset

DOI10.3934/DCDSB.2010.14.1403zbMath1203.91323OpenAlexW2026107991MaRDI QIDQ618955

Hoi Tin Kong, Qing Zhang

Publication date: 17 January 2011

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2010.14.1403

zbMATH Keywords

optimal stoppingquasi-variational inequalitiesmean-reverting process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Related Items (4)

Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs ⋮ Optimal mean-reversion strategy in the presence of bid-ask spread and delays in capital allocations ⋮ A trend-following strategy: conditions for optimality ⋮ OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT

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