Cvitanić, Jakša; Plott, Charles; Tseng, Chien-Yao - In: Decisions in Economics and Finance 38 (2015) 1, pp. 1-19
We consider a market in which traders arrive at random times, with random private values for the single-traded asset. A trader’s optimal trading decision is formulated in terms of exercising the option to trade one unit of the asset at the optimal stopping time. We solve the optimal stopping...
