Global Closed-form Approximation of Free Boundary for Optimal Investment Stopping Problems

Abstract

In this talk I present an efficient computational method for solving a utility maximization problem with both optimal control and optimal stopping in a finite time horizon. The value function can be characterized by a... [ view full abstract ]

Authors

  1. Jingtang Ma (Southwestern University of Finance and Economics)
  2. jie Xing (Southwestern University of Finance and Economics)
  3. Harry Zheng (Imperial College London)

Topic Areas

Numerical Methods , Partial Differential Equations , Utility Theory

Session

MO-P-DA » Price Impact and Portfolio Choice (14:30 - Monday, 16th July, Davis)

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