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Optimal Decision for Selling an Illiquid Stock |
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| Authors: | Baojun Bian Min Dai Lishang Jiang Qing Zhang Yifei Zhong |
| Institution: | 1. Department of Mathematics, Tongji University, Shanghai, China 2. Department of Mathematics, National University of Singapore (NUS), Singapore, Singapore 3. Department of Mathematics, The University of Georgia, Athens, GA, USA 4. Mathematical Institute and Oxford-Man Institute of Quantitative Finance, Oxford University, Oxford, UK |
| Abstract: | This paper is concerned with liquidation of an illiquid stock. The stock price follows a fluid model which is dictated by the rates of selling and buying over time. The objective is to maximize the expected overall return. The method of constrained viscosity solution is used to characterize the dynamics governing the optimal reward function and the associated boundary conditions. Numerical examples are given to illustrate the results. |
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