Optimal switching decisions under stochastic volatility with fast mean reversion (Q322644)
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scientific article; zbMATH DE number 6636123
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| English | Optimal switching decisions under stochastic volatility with fast mean reversion |
scientific article; zbMATH DE number 6636123 |
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Optimal switching decisions under stochastic volatility with fast mean reversion (English)
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7 October 2016
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optimal switching problems
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multi-scale stochastic volatility
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quasi-variational inequalities
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hysteresis
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0.809203565120697
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0.8078550696372986
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0.8031080961227417
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0.7891562581062317
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0.7869084477424622
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