Stock loan valuation under a regime-switching model with mean-reverting and finite maturity
From MaRDI portal
Publication:601072
DOI10.1007/s11424-010-0146-7zbMath1198.91212OpenAlexW2003410988MaRDI QIDQ601072
Publication date: 3 November 2010
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-010-0146-7
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Nearly-optimal asset allocation in hybrid stock investment models.
- Trading a mean-reverting asset: buy low and sell high
- Stock Trading: An Optimal Selling Rule
- An explicit solution to an optimal stopping problem with regime switching
- AMERICAN OPTIONS WITH REGIME SWITCHING
- A stochastic approximation algorithm for option pricing model calibration with a switchable market
- A Course in Financial Calculus
- Valuation of Stock Loans with Regime Switching
- Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- A model for stock price fluctuations based on information
- Optimal selling rules in a regime switching model
- STOCK LOANS
- A Regime-Switching Model of Long-Term Stock Returns