A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING (Q5866978)

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scientific article; zbMATH DE number 7590377
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English
A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING
scientific article; zbMATH DE number 7590377

    Statements

    title
    A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING (English)
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    publication date
    22 September 2022
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    zbMATH Keywords
    Markov chains
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    regime-switching
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    two price finance
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    European options
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    dynamic programming principle
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    maximum principle
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    cites work
    Q4550909
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    Q4323296
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    Q4189915
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    Q4459250
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    Q4935968
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    93E20
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    49L20
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    zbMATH DE Number
    7590377
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    arXiv ID
    2112.02368
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    OpenAlex ID
    W4284989659
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