Hysteresis effects under CIR interest rates
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Publication:418081
DOI10.1016/J.EJOR.2010.12.021zbMATH Open1237.91223OpenAlexW3121310286MaRDI QIDQ418081FDOQ418081
Authors: José Carlos Dias, Mark B. Shackleton 
Publication date: 14 May 2012
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10071/9971
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- Smooth pasting as rate of return equalization
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Cited In (8)
- Optimal capital accumulation under price uncertainty and costly reversibility
- Real options in operations research: a review
- Optimal entry and exit decisions under uncertainty and the impact of mean reversion
- Optimal switching decisions under stochastic volatility with fast mean reversion
- Hysteresis due to irreversible exit: addressing the option to mothball
- Play-hysteresis in the joint dynamics of employment and investment
- Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable
- Staffing many‐server queues with autoregressive inputs
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