Optimal Stopping and Switching Problems with Financial Applications
This dissertation studies a collection of problems on trading assets and derivatives over finite and infinite horizons. In the first part, we analyze an optimal switching problem with transaction costs that involves an infinite sequence of trades. The investor's value functions and optimal timi...
| Main Author: | |
|---|---|
| Language: | English |
| Published: |
2016
|
| Subjects: | |
| Online Access: | https://doi.org/10.7916/D8VQ330D |