Optimal double stopping of a Brownian bridge
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References listed on IDEAS
- Guillermo Gallego & Garrett van Ryzin, 1994. "Optimal Dynamic Pricing of Inventories with Stochastic Demand over Finite Horizons," Management Science, INFORMS, vol. 40(8), pages 999-1020, August.
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- repec:wsi:ijtafx:v:18:y:2015:i:03:n:s021902491550020x is not listed on IDEAS
- Tim Leung & Xin Li, 2015.
"Optimal Mean Reversion Trading With Transaction Costs And Stop-Loss Exit,"
International Journal of Theoretical and Applied Finance (IJTAF),
World Scientific Publishing Co. Pte. Ltd., vol. 18(03), pages 1-31.
- Tim Leung & Xin Li, 2014. "Optimal Mean Reversion Trading with Transaction Costs and Stop-Loss Exit," Papers 1411.5062, arXiv.org, revised May 2015.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-10-03 (All new papers)
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