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Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty

Xu, ZQ; Yi, FH

Xu, ZQ (corresponding author), Hong Kong Polytech Univ, Dept Appl Math, Hung Hom, Kowloon, Hong Kong, Peoples R China.

MATHEMATICS OF OPERATIONS RESEARCH, 2020; 45 (1): 384

Abstract

In practice, one must recognize the inevitable incompleteness of information while making decisions. In this paper, we consider the optimal redeeming ......

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