A stochastic control approach to bid-ask price modelling
Engel John C. Dela Vega, Robert J. Elliott
| Year of publication: |
2022
|
|---|---|
| Authors: | Dela Vega, Engel John C. ; Elliott, Robert J. |
| Published in: |
International journal of theoretical and applied finance : IJTAF. - Singapore : World Scientific, ZDB-ID 2027376-9. - Vol. 25.2022, 4/5, Art.-No. 2250021, p. 1-30
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| Subject: | dynamic programming principle | European options | Markov chains | maximum principle | regime-switching | two price finance | Markov-Kette | Markov chain | Dynamische Optimierung | Dynamic programming | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Optionsgeschäft | Option trading | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024922500212 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013371064