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Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty - MaRDI portal

Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty (Q5108271)

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scientific article; zbMATH DE number 7195327
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Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty
scientific article; zbMATH DE number 7195327

    Statements

    title
    Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty (English)
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    author
    Zuo Quan Xu
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    Fa-huai Yi
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    publication date
    30 April 2020
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    zbMATH Keywords
    asset pricing
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    stochastic model applications
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    dynamic programming: Bayesian
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    stock loan
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    drift uncertainty
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    optimal stopping
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    bull and bear trends
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    degenerate parabolic variational inequality
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    cites work
    Buy Low and Sell High
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    Q3678248
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    Q4522393
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    STOCK LOANS
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    Q3503154
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    Q4255599
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    Identifiers

    zbMATH DE Number
    7195327
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    OpenAlex ID
    W2984156336
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    arXiv ID
    1901.06680
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    Wikidata QID
    Q126794630
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