A stochastic control approach to bid-ask price modelling
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
|
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 |
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