Optimal time to sell an asset whose price is mean reverting
| dc.contributor.author | Andongwisye, John | |
| dc.date.accessioned | 2020-03-26T09:45:58Z | |
| dc.date.available | 2020-03-26T09:45:58Z | |
| dc.date.issued | 2012 | |
| dc.description | Available in print form, East Africana Collection, Dr. Wilbert Chagula Library, Class mark (THS EAF QA279.7.A62) | en_US |
| dc.description.abstract | In this work, we have solved the stopping time problem under uncertainty using the continuous time theory. We used the mean reverting model to find the time that gave the optimal expected reward. The mean reverting model uses the past information to predict the future price. In a real market past information is very important To present the optimal expected reward g*(x), we used Dynkin’s supermeanval¬ued major ant characterization of the value function in which we found the first exit time r*j. We used the continuation region U which is open and is optimal to continue running the process as well as when it enters a closed region D in which it is optimal to terminate the process and receive the reward. To set up a free bound¬ary problem that can be solved, an additional condition is needed. In this work the principle of smooth fit provided the condition. The explicit solution to a free boundary problem was determined. This helped us to find the maximum asset price x*. Our result is divided into two cases. When the optimal price x* is less than the present price Xq = x then the better decision is to sell immediately. But when x* > x, the best decision is to sell later and the optimal price depends on the model parameters. Finally we determined the maximum expected reward g*(x) which depends on the optimal price | en_US |
| dc.identifier.citation | Andongwisye, J (2012) Optimal time to sell an asset whose price is mean reverting Master dissertation, University of Dar es Salaam , Dar es Salaam | en_US |
| dc.identifier.uri | http://41.86.178.5:8080/xmlui/handle/123456789/8195 | |
| dc.language.iso | en | en_US |
| dc.publisher | University of Dar es Salaam, | en_US |
| dc.subject | Optimal stopping (mathematical Modelling) | en_US |
| dc.title | Optimal time to sell an asset whose price is mean reverting | en_US |
| dc.type | Thesis | en_US |