A numerical study for optimal portfolio regime-switching model I. 2D Black-Scholes equation with an exponential non-linear term

Miglena N. Koleva, Lubin G. Vulkov. A numerical study for optimal portfolio regime-switching model I. 2D Black-Scholes equation with an exponential non-linear term. J. Computational Applied Mathematics, 318:538-549, 2017. [doi]

Abstract

Abstract is missing.