CONIC TRADING IN A MARKOVIAN STEADY STATE
DOI10.1142/S0219024917500108zbMath1390.91304OpenAlexW3122946145MaRDI QIDQ2976128
Dilip B. Madan, Wim Schoutens, Martijn R. Pistorius
Publication date: 13 April 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024917500108
Contents, measures, outer measures, capacities (28A12) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)
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