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Date of Award
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.
Zhang, Caojin, "Optimal Trading Under A Markov Model" (2018). Wayne State University Dissertations. 2084.