Using stochastic optimization methods for stock selling decision making and option pricing: numerics and bias and variance dependent convergence rates

DOI10.4310/CIS.2007.V7.N2.A1MaRDI QIDQ936477zbMATHOpenAlexFDO

Authors B. E. Eshmatov

Publication date 14 August 2008

Published in Communications in Information and Systems (Search for Journal in Brave)

Full work available at URL https://projecteuclid.org/euclid.cis/1184963914

Mathematics Subject Classification ID

Stochastic approximation (62L20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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• scientific article; zbMATH DE number 1867105 (Why is no real title available?)

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