Least-squares Monte-Carlo methods for optimal stopping investment under CEV models (Q5139226)

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scientific article; zbMATH DE number 7282772
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Least-squares Monte-Carlo methods for optimal stopping investment under CEV models
scientific article; zbMATH DE number 7282772

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    Least-squares Monte-Carlo methods for optimal stopping investment under CEV models (English)
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    7 December 2020
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    optimal investment
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    optimal stopping
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    CEV model
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    dual control approach
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    Monte Carlo UT methods
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