Intensity-based framework and penalty formulation of optimal stopping problems

Intensity-based framework and penalty formulation of optimal stopping problems

10.1016/j.jedc.2007.01.016

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Main Authors: Dai, M., Kwok, Y.K., You, H.
Other Authors: MATHEMATICS
Format: Article
Published: 2014
Subjects:
Callable feature
Event risk
Intensity approach
Linear complementarity formulation
Mortgage prepayment
Penalty method
Online Access:http://scholarbank.nus.edu.sg/handle/10635/103435
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Institution: National University of Singapore
id sg-nus-scholar.10635-103435
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spelling sg-nus-scholar.10635-1034352023-10-26T09:40:33Z Intensity-based framework and penalty formulation of optimal stopping problems Dai, M. Kwok, Y.K. You, H. MATHEMATICS Callable feature Event risk Intensity approach Linear complementarity formulation Mortgage prepayment Penalty method 10.1016/j.jedc.2007.01.016 Journal of Economic Dynamics and Control 31 12 3860-3880 JEDCD 2014-10-28T02:37:07Z 2014-10-28T02:37:07Z 2007-12 Article Dai, M., Kwok, Y.K., You, H. (2007-12). Intensity-based framework and penalty formulation of optimal stopping problems. Journal of Economic Dynamics and Control 31 (12) : 3860-3880. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jedc.2007.01.016 01651889 http://scholarbank.nus.edu.sg/handle/10635/103435 000250690300006 Scopus
institution National University of Singapore
building NUS Library
continent Asia
country Singapore
Singapore
content_provider NUS Library
collection ScholarBank@NUS
topic Callable feature
Event risk
Intensity approach
Linear complementarity formulation
Mortgage prepayment
Penalty method
spellingShingle Callable feature
Event risk
Intensity approach
Linear complementarity formulation
Mortgage prepayment
Penalty method
Dai, M.
Kwok, Y.K.
You, H.
Intensity-based framework and penalty formulation of optimal stopping problems
description 10.1016/j.jedc.2007.01.016
author2 MATHEMATICS
author_facet MATHEMATICS
Dai, M.
Kwok, Y.K.
You, H.
format Article
author Dai, M.
Kwok, Y.K.
You, H.
author_sort Dai, M.
title Intensity-based framework and penalty formulation of optimal stopping problems
title_short Intensity-based framework and penalty formulation of optimal stopping problems
title_full Intensity-based framework and penalty formulation of optimal stopping problems
title_fullStr Intensity-based framework and penalty formulation of optimal stopping problems
title_full_unstemmed Intensity-based framework and penalty formulation of optimal stopping problems
title_sort intensity-based framework and penalty formulation of optimal stopping problems
publishDate 2014
url http://scholarbank.nus.edu.sg/handle/10635/103435
_version_ 1781787730466832384

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