On pricing barrier control in a regime-switching regulated market-Reference-Cited by-同舟云学术

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On pricing barrier control in a regime-switching regulated market

Published:2018-08 Issue:3 Volume:19 Page:491-499
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Han Zheng¹,Hu Yaozhong²,Lee Chihoon³

Affiliation:

1. School of Business, University of Kansas, Lawrence, KS 66045, USA

2. Department of Mathematical and Statistical Sciences, University of Alberta, Edmonton, Alberta T6G 2G1, Canada

3. School of Business, Stevens Institute of Technology, Hoboken, NJ 07030, USA

Funder

Army Research Office

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2018.1480835

Reference29 articles.

1. Drift rate control of a Brownian processing system

2. First passage times of reflected Ornstein–Uhlenbeck processes with two-sided jumps

3. First Passage Times of Constant-Elasticity-of-Variance Processes with Two-Sided Reflecting Barriers

4. On the conditional default probability in a regulated market with jump risk

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1. An empirical study on the regulated Chinese agricultural commodity futures market based on skew Ornstein-Uhlenbeck model;Research in International Business and Finance;2021-10

2. NATURE AND POTENTIAL BARRIERS OF FACILITY MANAGEMENT IN MANUFACTURING ENTERPRISES;Polish Journal of Management Studies;2021-06

3. A Markov chain approximation scheme for option pricing under skew diffusions;Quantitative Finance;2020-07-29

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