Optimal strategies with option compensation under mean reverting returns or volatilities.

Stefano Herzel Marco Nicolosi

Published in: Comput. Manag. Sci. (2019)

Keyphrases

optimal strategy
stock price
option pricing
dow jones
decision problems
monte carlo
expected cost
mathematical models
expected utility
databases
information systems
cooperative game
bayesian networks
stock market
stock exchange
chinese stock market