A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING (Q5866978)
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scientific article; zbMATH DE number 7590377
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING |
scientific article; zbMATH DE number 7590377 |
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A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING (English)
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22 September 2022
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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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