A STOCHASTIC CONTROL APPROACH TO BID-ASK PRICE MODELLING

DOI10.1142/S0219024922500212zbMath1498.91433arXiv2112.02368OpenAlexW4284989659MaRDI QIDQ5866978

Robert J. Elliott, Engel John C. Dela Vega

Publication date: 22 September 2022

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2112.02368

zbMATH Keywords

maximum principleMarkov chainsEuropean optionsregime-switchingdynamic programming principletwo price finance

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Derivative securities (option pricing, hedging, etc.) (91G20)

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