no code implementations • 17 Dec 2020 • Paolo Falbo, Giorgio Ferrari, Giorgio Rizzini, Maren Diane Schmeck
Moreover, we study the effect of traffic bans and incentive on the expected optimal switching time.
no code implementations • 22 Mar 2023 • Annika Kemper, Maren Diane Schmeck
Under the physical measure, we discover a decomposition of the swap's market price of risk into the classical one and the MPDP.