Optimal switching decisions under stochastic volatility with fast mean reversion
Andrianos E. Tsekrekos, Athanasios N. Yannacopoulos
| Year of publication: |
2016
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|---|---|
| Authors: | Tsekrekos, Andrianos E. ; Yannacopoulos, Athanasios N. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 251.2016, 1 (16.5.), p. 148-157
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| Subject: | Optimal switching problems | Multi-scale stochastic volatility | Quasi-variational inequalities | Hysteresis | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Mean Reversion | Mean reversion | Mathematische Optimierung | Mathematical programming | Hysterese | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.12.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011446242