Least-squares Monte-Carlo methods for optimal stopping investment under CEV models
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Publication:5139226
DOI10.1080/14697688.2020.1736325zbMath1454.91361OpenAlexW3015811086MaRDI QIDQ5139226
Jie Xing, Jingtang Ma, Zhengyang Lu, Wen-Yuan Li
Publication date: 7 December 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2020.1736325
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)
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