Optimal dealer pricing under transaction uncertainty

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• 作者：Cheng Guo ; Jinwu Gao
• 关键词：Uncertain variable ; Uncertain process ; Uncertain differential equation ; Transaction uncertainty ; Optimal dealer pricing
• 刊名：Journal of Intelligent Manufacturing
• 出版年：2017
• 出版时间：March 2017
• 年：2017
• 卷：28
• 期：3
• 页码：657-665
• 全文大小：
• 刊物类别：Business and Economics
• 刊物主题：Production; Manufacturing, Machines, Tools; Control, Robotics, Mechatronics;
• 出版者：Springer US
• ISSN：1572-8145
• 卷排序：28

文摘

Dealers in securities markets are standing ready immediately to trade certain amounts of securities at stated bid and ask prices. This paper assumes that the amount of transactions follows an uncertain mean-reverting process associated with the bid and ask prices. In order to maximize the dealer’s total wealth, an optimal dealer pricing model under transaction uncertainty is established. And the optimal bid price and ask price over time are derived. Finally, the variations of the optimal bid and ask prices with different parameters are presented.