Analysis of an optimal stopping problem arising from hedge fund investing
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Publication:2009296
DOI10.1016/j.jmaa.2019.123559zbMath1427.91270OpenAlexW2977417801WikidataQ127178429 ScholiaQ127178429MaRDI QIDQ2009296
John M. Chadam, David Saunders, Xinfu Chen
Publication date: 28 November 2019
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2019.123559
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
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