Optimal strategies with option compensation under mean reverting returns or volatilities (Q1722748)
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scientific article; zbMATH DE number 7024658
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal strategies with option compensation under mean reverting returns or volatilities |
scientific article; zbMATH DE number 7024658 |
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Optimal strategies with option compensation under mean reverting returns or volatilities (English)
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18 February 2019
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investment analysis
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portfolio management
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convex incentives
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optimal control
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Fourier transform
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mean reverting processes
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0.838715136051178
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0.8257153630256653
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0.7773106098175049
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0.7441322803497314
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0.741679310798645
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