On pricing barrier control in a regime-switching regulated market

DOI10.1080/14697688.2018.1480835zbMath1420.91105OpenAlexW2886654035WikidataQ129427849 ScholiaQ129427849MaRDI QIDQ5234307

Zheng Han, Chihoon Lee, Yaozhong Hu

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1480835

zbMATH Keywords

ergodic controlmean-variance optimizationregime-switchingreflected diffusionsregulated marketoptimal barriers

Mathematics Subject Classification ID

Related Items (1)

A Markov chain approximation scheme for option pricing under skew diffusions

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