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- W2000518988 abstract "This work provides an optimal trading rulethat allows buying and selling of an asset sequentially over time.The asset price follows a regime switching model involvinga geometric Brownian motion and a mean reversion model.The objective is to determine a sequence of trading timesto maximize an overall return.The corresponding value functions are characterizedby a set of quasi variational inequalities.Closed-form solutions are obtained.The sequence of trading times can be given in terms ofvarious threshold levels.Numerical examples are given to demonstrate the results." @default.
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- W2000518988 date "2013-01-01" @default.
- W2000518988 modified "2023-09-25" @default.
- W2000518988 title "Stock trading rules under a switchable market" @default.
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- W2000518988 doi "https://doi.org/10.3934/mcrf.2013.3.209" @default.
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