I own a single share of Wivco stock. I must sell myshare at the beginning of one of the next 30 days. Each day,the price of the stock changes. With probability q(x), theprice tomorrow will increase by x% over today’s stock price(x can be negative). For example, with probability q(5),tomorrow’s stock price will be 5% higher than today’s. Showhow dynamic programming can be used to determine astrategy that maximizes the expected revenue earned fromselling the share of Wivco stock. Assume that at thebeginning of the first day, the stock sells for $10 per share.
I own a single share of Wivco stock. I must sell myshare at the beginning of one of the next 30 days. Each day,the price of the stock changes. With probability q(x), theprice tomorrow will increase by x% over today’s stock price(x can be negative). For example, with probability q(5),tomorrow’s stock price will be 5% higher than today’s. Showhow dynamic programming can be used to determine astrategy that maximizes the expected revenue earned fromselling the share of Wivco stock. Assume that at thebeginning of the first day, the stock sells for $10 per share.
Practical Management Science
6th Edition
ISBN:9781337406659
Author:WINSTON, Wayne L.
Publisher:WINSTON, Wayne L.
Chapter11: Simulation Models
Section11.3: Financial Models
Problem 24P: If you own a stock, buying a put option on the stock will greatly reduce your risk. This is the idea...
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Question
I own a single share of Wivco stock. I must sell my
share at the beginning of one of the next 30 days. Each day,
the price of the stock changes. With probability q(x), the
price tomorrow will increase by x% over today’s stock price
(x can be negative). For example, with probability q(5),
tomorrow’s stock price will be 5% higher than today’s. Show
how dynamic programming can be used to determine a
strategy that maximizes the expected revenue earned from
selling the share of Wivco stock. Assume that at the
beginning of the first day, the stock sells for $10 per share.
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