A Near-Optimal Selling Rule for a Two-Time-Scale Market Model
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Cited in
(19)- Optimal stopping of two-time scale Markovian systems: analysis, numerical methods, and applications
- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
- An optimal double stopping rule for a buying-selling problem
- Asset liquidation under drift uncertainty and regime-switching volatility
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- Convergence rates of trinomial tree methods for option pricing under regime-switching models
- Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
- A lattice method for option pricing with two underlying assets in the regime-switching model
- Sell or hold: A simple two-stage stochastic combinatorial optimization problem
- Connection between trinomial trees and finite difference methods for option pricing with state-dependent switching rates
- Quantile hedging for guaranteed minimum death benefits with regime switching
- Infinite horizon reflected backward stochastic differential equations with Markov chains
- Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case
- Buying and selling an asset over the finite time horizon: a non-parametric approach
- Optimal decision for selling an illiquid stock
- Two-time scale reinforcement learning and applications to production planning
- Penalized schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities arising in regime switching utility maximization with optimal stopping
- Option pricing in a regime-switching model using the fast Fourier transform
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