英文标题：
《Optimal Starting-Stopping and Switching of a CIR Process with Fixed
Costs》
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作者：
Tim Leung, Xin Li, Zheng Wang
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最新提交年份：
2014
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英文摘要：
This paper analyzes the problem of starting and stopping a Cox-Ingersoll-Ross (CIR) process with fixed costs. In addition, we also study a related optimal switching problem that involves an infinite sequence of starts and stops. We establish the conditions under which the starting-stopping and switching problems admit the same optimal starting and/or stopping strategies. We rigorously prove that the optimal starting and stopping strategies are of threshold type, and give the analytical expressions for the value functions in terms of confluent hypergeometric functions. Numerical examples are provided to illustrate the dependence of timing strategies on model parameters and transaction costs.
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中文摘要：
本文分析了具有固定成本的Cox-Ingersoll-Ross（CIR）过程的启动和停止问题。此外，我们还研究了一个相关的最优切换问题，该问题涉及无限的启动和停止序列。我们建立了启动-停止和切换问题允许相同的最优启动和/或停止策略的条件。我们严格证明了最优启动和停止策略是阈值型的，并给出了用合流超几何函数表示的值函数的解析表达式。通过数值例子说明了定时策略对模型参数和交易成本的依赖性。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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