Block trading: building up a stock position under a regime switching model

DOI10.1007/S11009-019-09698-5MaRDI QIDQ2283673zbMATH OpenOpenAlexWikidataFDO

Authors Xianggang Lu

Publication date 13 January 2020

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-019-09698-5

zbMATH Keywords

block tradingconstrained optimal controlregime switching

Mathematics Subject Classification ID

Financial markets (91G15) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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Cited in

(1)

• Pasch trades with a negative block

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