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Hyo-Chan Lee

The Credit Finance Association of Korea (CREFIA)

13th Fl., Hanway Bidg., 43 Da-donggil

Jung-gu

Seoul, 100-180

Korea, Republic of (South Korea)

  • The Credit Finance Association of Korea (CREFIA)

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Optimal Investment with Time-Varying Transition Probabilities for Regime Switching

Forthcoming in Journal of Derivatives and Quantitative Studies
Posted: 01 Feb 2016 Last Revised: 11 Jun 2021
Hyo-Chan Lee, Seyoung Park and Jong Mun Yoon
The Credit Finance Association of Korea (CREFIA), Nottingham University Business School and The Credit Finance Association of Korea (CREFIA)

Abstract:

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optimal investment, time-varying transition probabilities, regime switching, cash flows, option