Trading a mean-reverting asset: buy low and sell high (Q2440761): Difference between revisions

@@ Property / author @@
-Han-Qin Zhang
@@ Property / author: Han-Qin Zhang / rank @@
-Normal rank
@@ Property / author @@
+Han-Qin Zhang
@@ Property / author: Han-Qin Zhang / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.automatica.2007.11.003
+Normal rank
@@ Property / OpenAlex ID @@
+W2170924674
@@ Property / OpenAlex ID: W2170924674 / rank @@
+Normal rank
@@ Property / cites work @@
+On a semi-spectral method for pricing an option on a mean-reverting asset
+Normal rank
@@ Property / cites work @@
+Optimal trading of a security when there are taxes and transaction costs
+Normal rank
@@ Property / cites work @@
+Capital Market Equilibrium with Personal Tax
@@ Property / cites work: Capital Market Equilibrium with Personal Tax / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model
+Normal rank
@@ Property / cites work @@
+Optimal selling rules in a regime switching model
@@ Property / cites work: Optimal selling rules in a regime switching model / rank @@
+Normal rank
@@ Property / cites work @@
+Q3160507
@@ Property / cites work: Q3160507 / rank @@
+Normal rank
@@ Property / cites work @@
+Option pricing in a regime-switching model using the fast Fourier transform
+Normal rank
@@ Property / cites work @@
+Long-Term Optimal Investment Strategies in the Presence of Adjustment Costs
+Normal rank
@@ Property / cites work @@
+A Model for Reversible Investment Capacity Expansion
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
+Normal rank
@@ Property / cites work @@
+Optimal stock liquidation in a regime switching model with finite time horizon
+Normal rank
@@ Property / cites work @@
+LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING
+Normal rank
@@ Property / cites work @@
+Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach
+Normal rank
@@ Property / cites work @@
+Stock Trading: An Optimal Selling Rule
@@ Property / cites work: Stock Trading: An Optimal Selling Rule / rank @@
+Normal rank