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Access Type

WSU Access

Date of Award

1-1-2018

Degree Type

Dissertation

Degree Name

Ph.D.

Department

Mathematics

First Advisor

George Yin

Abstract

In mathematical finance, modeling stock prices is always a challenging task. In this work, instead of the

traditional Brownian motion based models (for instance, a geometric Brownian motion model), we adopt a

continuous-time Markov chain model, which is a more realistic generalization of the binomial tree models

considered in discrete-time systems. Using this model, we derived the optimal trading strategy and back test

on the real financial data.

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