Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.587346
Title: Optimal liquidation in a finite time regime switching model with permanent and temporary liquidation impact
Author: Wu, Nan
Awarding Body: Imperial College London
Current Institution: Imperial College London
Date of Award: 2013
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Abstract:
In this thesis, we discuss the optimal liquidation problem in a finite horizon model with permanent and temporary pricing impact. We use different model set-ups including a finite time Markov diffusion model and a regime switching model with exit time. The drift and diffusion terms of the asset price are general functions depending on the state variables as well as the control. There is also a non-linear transaction cost associated with the liquidation. We verify the continuity of the value function and show that it is the unique viscosity solution of the associated HJB equation. We also propose a perturbation method to approximate the viscosity solution through a series of classical solutions with the help of the stability property of viscosity solutions. We revise the definition of viscosity solutions for the regime switching model and show that the value function is a strong-form viscosity solution. Numerical results are presented at the end to show the relationship between the optimal selling rate and the state variables.
Supervisor: Zheng, Harry Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.587346  DOI: Not available
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