This repository contains resources relevant to the project "A Numerical Scheme for the Optimal Liquidation Problem Under Jump Diffusion Dynamics on High-Frequency Data."

Essentially, an investor is interested in the optimal stopping time based on a stop-loss level. The value function can be represented as a free-boundary problem, which was solved analogously to how an American option is priced. Due to the dynamics of the stock price, which includes a jump, no closed-form solutions existed at the time hence I resorted to finite differences and quadrature to obtain an estimate.

• A research PDF including a literature review, methodology, and numerical example.

• Code written in Python to obtain cointegrated pair

• Code written in R (Jupyter Notebook) to implement methodology