scientific article; zbMATH DE number 7703253

zbMath1515.91008MaRDI QIDQ6161814

Bing Lu

Publication date: 27 June 2023

Full work available at URL: https://urn.kb.se/resolve?urn=urn%3Anbn%3Ase%3Auu%3Adiva-209235

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

optimal stoppingincomplete informationimplied volatilitysingular stochastic controljump-diffusion modelpiecewise constant volatilityexponential Lévy modelsshort-time asymptotic behavioroptimal distribution of dividendscalibration of modelsperpetual put optionoptimal liquidation of an asset

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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