Login / Signup

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

Miglena N. KolevaLubin G. Vulkov
Published in: J. Comput. Appl. Math. (2017)
Keyphrases
  • probabilistic model
  • theoretical framework
  • objective function
  • long term
  • decision support system