Buying and selling rules for a simple transaction of a mean-reverting asset

DOI10.7468/JKSMEB.2011.18.2.129zbMATH Open1225.91071OpenAlexW1998282566MaRDI QIDQ3173706FDOQ3173706

Authors Dong-Hoon Shin

Publication date 10 October 2011

Published in The Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7468/jksmeb.2011.18.2.129

zbMATH Keywords

regime switchingoptimal stoppingmean-reversion

Mathematics Subject Classification ID

Applications of optimal control and differential games (49N90) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

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