The viscosity solutions approach to swing options pricing under a regime-switching mean-reverting model
DOI10.1186/s13660-018-1908-3zbMath1498.91461OpenAlexW2900873600WikidataQ59799102 ScholiaQ59799102MaRDI QIDQ824886
Lingjie Shao, Kaili Xiang, Yang Song
Publication date: 15 December 2021
Published in: Journal of Inequalities and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13660-018-1908-3
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
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