Optimal switching decisions under stochastic volatility with fast mean reversion

DOI10.1016/j.ejor.2015.12.011zbMath1346.91165OpenAlexW3125888902MaRDI QIDQ322644

Andrianos E. Tsekrekos, Athanasios N. Yannacopoulos

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.12.011

zbMATH Keywords

hysteresisquasi-variational inequalitiesmulti-scale stochastic volatilityoptimal switching problems

Mathematics Subject Classification ID

Variational inequalities (49J40) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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