Some optimal variance stopping problems revisited with an application to the Italian Ftse-Mib stock index
| Autor: | Bruno Buonaguidi, Antonietta Mira |
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| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
Statistics and Probability
Geometric Brownian motion trading strategies 010102 general mathematics Variance (accounting) 01 natural sciences Stock market index 010104 statistics & probability Nonlinear system Quadratic equation Modeling and Simulation optimal variance stopping problems Applied mathematics geometric Brownian motion Trading strategy Optimal stopping 0101 mathematics Diffusion processes Mathematics |
| Popis: | Optimal variance stopping (O.V.S.) problems are a new class of optimal stopping problems that differ from the classical ones because of their non linear (quadratic) dependence on the expectation op... |
| Databáze: | OpenAIRE |
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