Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty
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Publication:5108271
DOI10.1287/moor.2019.0995zbMath1437.91423arXiv1901.06680OpenAlexW2984156336WikidataQ126794630 ScholiaQ126794630MaRDI QIDQ5108271
Publication date: 30 April 2020
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1901.06680
optimal stoppingasset pricingstochastic model applicationsstock loandrift uncertaintydegenerate parabolic variational inequalitybull and bear trendsdynamic programming: Bayesian
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