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Executive Stock Option Exercise with Full and Partial Information on a Drift Change Point.

Vicky HendersonKamil KladívkoMichael MonoyiosChristoph Reisinger
Published in: SIAM J. Financial Math. (2020)
Keyphrases
  • partial information
  • change point
  • incomplete information
  • change point detection
  • stock price
  • stock market
  • motif discovery
  • dynamic programming
  • non stationary