Bd. François Mitterrand
F-91025 Evry Cedex, 91028
real options, stochastic control, liquidity discount, regime shifting, viscosity solutions, system of variational inequalities
Liquidity Risk, Limit Order Books, Impulse Control, Viscosity Solutions, System of Variational Inequalities
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stochastic control, path-dependent viscosity solutions, numerical scheme, variational inequalities, American option
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