Optimal switching decisions under stochastic volatility with fast mean reversion

Andrianos E. Tsekrekos, Athanassios N. Yannacopoulos. Optimal switching decisions under stochastic volatility with fast mean reversion. European Journal of Operational Research, 251(1):148-157, 2016. [doi]

Authors

Andrianos E. Tsekrekos

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Athanassios N. Yannacopoulos

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