A Hilbert transform approach for controlled jump-diffusions with financial applications
Yingming Ge and Lingfei Li
| Year of publication: |
2020
|
|---|---|
| Authors: | Ge, Yingming ; Li, Lingfei |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 7.2020, 4, p. 1-46
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| Subject: | Hilbert transform | jump-diffusions | optimal investment | option pricing | piecewise constant policy approximation | sinc expansion | stochastic control | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Kontrolltheorie | Control theory |