Jun Maeda · 2026 · arXiv (Cornell University)
DOI: 10.48550/arxiv.2610.04990 · cited by 0 works (OpenAlex) · open-access PDF
我们研究什么时候买一个股票,以后会被卖得最优,当价格遵循一个几何多滑布朗运动,其扭曲水平的模型支持和抵抗。购买的奖励是清算问题在伴侣纸上解决的退出奖金。这个奖金在出口延续区域内是严格的$r$-subharmonic,所以购买仅在价格被推向上面的水平是最优的,而入口问题减少到一个有限的,其价值是有限的许多点的顶部凝聚体。
Machine translation (Meta M2M100); the English original follows.
We study when to buy a share that will later be sold optimally, when the price follows a geometric multi-skew Brownian motion whose skew levels model support and resistance. The reward for buying is the exit premium of the liquidation problem solved in a companion paper. This premium is strictly $r$-subharmonic inside the exit continuation region, so buying is optimal only at levels where the price is pushed upward, and the entry problem reduces to a finite one whose value is an upper concave hull of finitely many points. With one support and one resistance, the optimal rule is to buy exactly at the support, in every exit regime, with an explicit value.
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Topics: Continuation, Mathematics, Skew, Geometric Brownian motion, Brownian motion, Mathematical economics
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