An optimal mean-reversion trading rule under a Markov chain model (Q326803): Difference between revisions

@@ Property / DOI @@
-.3934/mcrf.2016012
@@ Property / DOI: 10.3934/mcrf.2016012 / rank @@
-Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J40
@@ Property / Mathematics Subject Classification ID: 49J40 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J10
@@ Property / Mathematics Subject Classification ID: 60J10 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6637802
@@ Property / zbMATH DE Number: 6637802 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mean-reversion Markovian asset
@@ Property / zbMATH Keywords: mean-reversion Markovian asset / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal stopping
@@ Property / zbMATH Keywords: optimal stopping / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+variational inequalities
@@ Property / zbMATH Keywords: variational inequalities / 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/10.3934/mcrf.2016012
+Normal rank
@@ Property / OpenAlex ID @@
+W2489473640
@@ Property / OpenAlex ID: W2489473640 / 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 @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Trend Following Trading under a Regime Switching Model
+Normal rank
@@ Property / cites work @@
+Mathematics of financial markets.
@@ Property / cites work: Mathematics of financial markets. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+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 @@
+Q4794126
@@ Property / cites work: Q4794126 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4368791
@@ Property / cites work: Q4368791 / rank @@
+Normal rank
@@ Property / cites work @@
+A Model for Reversible Investment Capacity Expansion
+Normal rank
@@ Property / cites work @@
+Q5518575
@@ Property / cites work: Q5518575 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4350437
@@ Property / cites work: Q4350437 / rank @@
+Normal rank
@@ Property / cites work @@
+The Markov Chain Market
@@ Property / cites work: The Markov Chain Market / rank @@
+Normal rank
@@ Property / cites work @@
+An optimal pairs-trading rule
@@ Property / cites work: An optimal pairs-trading rule / rank @@
+Normal rank
@@ Property / cites work @@
+American option prices in a Markov chain market model
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+Continuous-time Markov chains and applications. A two-time-scale approach
+Normal rank
@@ Property / cites work @@
+Trading a mean-reverting asset: buy low and sell high
+Normal rank
@@ Property / cites work @@
+Stock Trading: An Optimal Selling Rule
@@ Property / cites work: Stock Trading: An Optimal Selling Rule / rank @@
+Normal rank
@@ Property / cites work @@
+Explicit solutions for an optimal stock selling problem under a Markov chain model
+Normal rank
@@ Property / DOI @@
+.3934/MCRF.2016012
@@ Property / DOI: 10.3934/MCRF.2016012 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:326803