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

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scientific article; zbMATH DE number 7590377
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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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