Hong You

National University of Singapore (NUS)

Bukit Timah Road 469 G

Singapore, 117591

Singapore

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Intensity-Based Framework and Penalty Formulation of Optimal Stopping Problems

Number of pages: 28 Posted: 28 Feb 2006
Yue Kuen Kwok, Min Dai and Hong You
Hong Kong University of Science & Technology - Department of Mathematics, National University of Singapore (NUS) - Department of Mathematics and National University of Singapore (NUS)
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Abstract:

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linear complementarity formulation, mortgage prepayment, optimal stopping