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]
@article{TsekrekosY16, title = {Optimal switching decisions under stochastic volatility with fast mean reversion}, author = {Andrianos E. Tsekrekos and Athanassios N. Yannacopoulos}, year = {2016}, doi = {10.1016/j.ejor.2015.12.011}, url = {http://dx.doi.org/10.1016/j.ejor.2015.12.011}, researchr = {https://researchr.org/publication/TsekrekosY16}, cites = {0}, citedby = {0}, journal = {European Journal of Operational Research}, volume = {251}, number = {1}, pages = {148-157}, }