High dimensional Markovian trading of a single stock

DOI10.3934/fmf.2022001zbMath1500.91130OpenAlexW4285412013MaRDI QIDQ2085831

Dilip B. Madan, Robert J. Elliott, King-Hang Wang

Publication date: 19 October 2022

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/fmf.2022001

zbMATH Keywords

quantizationGaussian process regressionbilateral gammameasure distorted valuation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Gaussian processes (60G15) Financial markets (91G15)

Related Items (3)

OPTION SURFACE STATISTICS WITH APPLICATIONS ⋮ Now decision theory ⋮ Option returns

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