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Yinghui Ye

Sun Yat-sen University

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Scholarly Papers (1)

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Optimal Stopping under Volatility Ambiguity

Number of pages: 57 Posted: 10 Feb 2025 Last Revised: 21 May 2026
Wenbin Cao, Xiaowei Chen, Yinghui Ye and Wei Yuan
Sam Houston State University, Nankai University, Sun Yat-sen University and Sun Yat-sen University
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Abstract:

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Real options, optimal stopping, volatility ambiguity, correlation ambiguity, G-Brownian motion, verification theorem