Optimal switching decisions under stochastic volatility with fast mean reversion
Year of publication: |
2016
|
---|---|
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
|
Subject: | Optimal switching problems | Multi-scale stochastic volatility | Quasi-variational inequalities | Hysteresis | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection |
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