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Optimal stopping and switching probl...

Wang, Zheng.

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Optimal stopping and switching problems with financial applications.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Optimal stopping and switching problems with financial applications./
作者:	Wang, Zheng.
出版者:	Ann Arbor : ProQuest Dissertations & Theses, : 2017,
面頁冊數:	137 p.
附註:	Source: Dissertation Abstracts International, Volume: 78-04(E), Section: B.
Contained By:	Dissertation Abstracts International78-04B(E).
標題:	Operations research. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10241116
ISBN:	9781369348996

Optimal stopping and switching problems with financial applications.
Wang, Zheng.

Optimal stopping and switching problems with financial applications. - Ann Arbor : ProQuest Dissertations & Theses, 2017 - 137 p.

Source: Dissertation Abstracts International, Volume: 78-04(E), Section: B.

Thesis (Ph.D.)--Columbia University, 2017.

This dissertation studies a collection of problems on trading assets and derivatives over finite and infinite horizons. In the first part, we analyze an optimal switching problem with transaction costs that involves an infinite sequence of trades. The investor's value functions and optimal timing strategies are derived when prices are driven by an exponential Ornstein-Uhlenbeck (XOU) or Cox-Ingersoll-Ross (CIR) process. We compare the findings to the results from the associated optimal double stopping problems and identify the conditions under which the double stopping and switching problems admit the same optimal entry and/or exit timing strategies.

ISBN: 9781369348996Subjects--Topical Terms:

547123
Operations research.

Optimal stopping and switching problems with financial applications.
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245 1 0 $a Optimal stopping and switching problems with financial applications.
260 1 $a Ann Arbor : $b ProQuest Dissertations & Theses, $c 2017
300 $a 137 p.
500 $a Source: Dissertation Abstracts International, Volume: 78-04(E), Section: B.
500 $a Adviser: Siu Tang Leung.
502 $a Thesis (Ph.D.)--Columbia University, 2017.
520 $a This dissertation studies a collection of problems on trading assets and derivatives over finite and infinite horizons. In the first part, we analyze an optimal switching problem with transaction costs that involves an infinite sequence of trades. The investor's value functions and optimal timing strategies are derived when prices are driven by an exponential Ornstein-Uhlenbeck (XOU) or Cox-Ingersoll-Ross (CIR) process. We compare the findings to the results from the associated optimal double stopping problems and identify the conditions under which the double stopping and switching problems admit the same optimal entry and/or exit timing strategies.
520 $a Our results show that when prices are driven by a CIR process, optimal strategies for the switching problems are of the classic buy-low-sell-high type. On the other hand, under XOU price dynamics, the investor should refrain from entering the market if the current price is very close to zero. As a result, the continuation (waiting) region for entry is disconnected. In both models, we provide numerical examples to illustrate the dependence of timing strategies on model parameters.
520 $a In the second part, we study the problem of trading futures with transaction costs when the underlying spot price is mean-reverting. Specifically, we model the spot dynamics by the OU, CIR or XOU model. The futures term structure is derived and its connection to futures price dynamics is examined. For each futures contract, we describe the evolution of the roll yield, and compute explicitly the expected roll yield. For the futures trading problem, we incorporate the investor's timing options to enter and exit the market, as well as a chooser option to long or short a futures upon entry. This leads us to formulate and solve the corresponding optimal double stopping problems to determine the optimal trading strategies. Numerical results are presented to illustrate the optimal entry and exit boundaries under different models. We find that the option to choose between a long or short position induces the investor to delay market entry, as compared to the case where the investor pre-commits to go either long or short.
520 $a Finally, we analyze the optimal risk-averse timing to sell a risky asset. The investor's risk preference is described by the exponential, power or log utility. Two stochastic models are considered for the asset price -- the geometric Brownian motion (GBM) and XOU models to account for, respectively, the trending and mean-reverting price dynamics. In all cases, we derive the optimal thresholds and certainty equivalents to sell the asset, and compare them across models and utilities, with emphasis on their dependence on asset price, risk aversion, and quantity. We find that the timing option may render the investor's value function and certainty equivalent non-concave in price even though the utility function is concave in wealth. Numerical results are provided to illustrate the investor's optimal strategies and the premia associated with optimally timing to sell with different utilities under different price dynamics.
590 $a School code: 0054.
650 4 $a Operations research. $3 547123
650 4 $a Finance. $3 542899
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710 2 $a Columbia University. $b Industrial Engineering. $3 2104478
773 0 $t Dissertation Abstracts International $g 78-04B(E).
790 $a 0054
791 $a Ph.D.
792 $a 2017
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10241116