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

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: On a semi-spectral method for pricing an option on a mean-reverting asset / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal trading of a security when there are taxes and transaction costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Capital Market Equilibrium with Personal Tax / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Selling Rules in a Regime-Switching Exponential Gaussian Diffusion Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal selling rules in a regime switching model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3160507 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Option pricing in a regime-switching model using the fast Fourier transform / rank
 
Normal rank
Property / cites work
 
Property / cites work: Long-Term Optimal Investment Strategies in the Presence of Adjustment Costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Model for Reversible Investment Capacity Expansion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic differential equations. An introduction with applications. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal stock liquidation in a regime switching model with finite time horizon / rank
 
Normal rank
Property / cites work
 
Property / cites work: LIQUIDATION OF A LARGE BLOCK OF STOCK WITH REGIME SWITCHING / rank
 
Normal rank
Property / cites work
 
Property / cites work: Recursive Algorithms for Stock Liquidation: A Stochastic Optimization Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stock Trading: An Optimal Selling Rule / rank
 
Normal rank

Latest revision as of 11:30, 7 July 2024

scientific article
Language Label Description Also known as
English
Trading a mean-reverting asset: buy low and sell high
scientific article

    Statements

    Trading a mean-reverting asset: buy low and sell high (English)
    0 references
    0 references
    0 references
    0 references
    19 March 2014
    0 references
    optimal stopping
    0 references
    quasi-variational inequalities
    0 references
    mean-reverting process
    0 references

    Identifiers