An optimal mean-reversion trading rule under a Markov chain model (Q326803): Difference between revisions

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+E20
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+6637802
@@ Property / zbMATH DE Number: 6637802 / rank @@
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@@ Property / zbMATH Keywords @@
+mean-reversion Markovian asset
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@@ Property / zbMATH Keywords @@
+optimal stopping
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+variational inequalities
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+https://doi.org/10.3934/mcrf.2016012
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+On a semi-spectral method for pricing an option on a mean-reverting asset
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+Optimal selling rules in a regime switching model
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+Publication:326803