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Journal of Intelligent Manufacturing

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28-11-2014

Optimal dealer pricing under transaction uncertainty

Authors: Cheng Guo, Jinwu Gao

Published in: Journal of Intelligent Manufacturing | Issue 3/2017

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Abstract

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.

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Title: Optimal dealer pricing under transaction uncertainty
Authors: Cheng Guo
Jinwu Gao
Publication date: 28-11-2014
Publisher: Springer US
Published in: Journal of Intelligent Manufacturing / Issue 3/2017
Print ISSN: 0956-5515
Electronic ISSN: 1572-8145
DOI: https://doi.org/10.1007/s10845-014-1002-8

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