Abstract:Abstract. This paper is concerned with using stochastic approximation and optimization methods for stock liquidation decision making and option pricing. For stock liquidation problem, we present a class of stochastic recursive algorithms, and make comparisons of performances using stochastic approximation methods and that of certain commonly used heuristic methods, such as moving averaging method and moving maximum method. Stocks listed in NASDAQ are used for making the comparisons. For option pricing, we desi… Show more
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