Optimal multiple trading times under the exponential OU model with transaction costs (Q3458137)
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scientific article; zbMATH DE number 6517826
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| English | Optimal multiple trading times under the exponential OU model with transaction costs |
scientific article; zbMATH DE number 6517826 |
Statements
Optimal Multiple Trading Times Under the Exponential OU Model with Transaction Costs (English)
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8 December 2015
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optimal double stopping
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optimal switching
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exponential Ornstein-Uhlenbeck process
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transaction costs
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0.8619312047958374
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0.8468526005744934
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0.794132649898529
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0.7875877022743225
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0.7855567932128906
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