Valuation of Stock Loans with Regime Switching
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Publication:3566961
DOI10.1137/070708998zbMath1188.91226OpenAlexW2006593482MaRDI QIDQ3566961
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Publication date: 10 June 2010
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/26ee05f24b11d94d1bab09a8e5b2e48f9f94a2a8
Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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