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Least-squares Monte-Carlo methods for optimal stopping investment under CEV models - MaRDI portal

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

    Statements

    title
    Least-squares Monte-Carlo methods for optimal stopping investment under CEV models (English)
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    author
    Jingtang Ma
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    Zhengyang Lu
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    Jie Xing
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    Wen-Yuan Li
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    publication date
    7 December 2020
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    zbMATH Keywords
    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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    cites work
    Q3678248
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    Q4354424
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    Q3378055
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    Identifiers

    Mathematics Subject Classification ID
    91G60
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    65C05
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    91G10
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    60G40
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    zbMATH DE Number
    7282772
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    OpenAlex ID
    W3015811086
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