On pricing barrier control in a regime-switching regulated market
Year of publication: |
2019
|
---|---|
Authors: | Han, Zheng ; Hu, Yaozhong ; Lee, Chihoon |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 3, p. 491-499
|
Subject: | Ergodic control | Mean-variance optimization | Optimal barriers | Reflected diffusions | Regime-switching | Regulated market | Regulierung | Regulation | Markov-Kette | Markov chain | Kontrolltheorie | Control theory |
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