Stock loan valuation under a regime-switching model with mean-reverting and finite maturity
From MaRDI portal
(Redirected from Publication:601072)
Recommendations
Cites work
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- scientific article; zbMATH DE number 796445 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A Course in Financial Calculus
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A Regime-Switching Model of Long-Term Stock Returns
- A model for stock price fluctuations based on information
- A stochastic approximation algorithm for option pricing model calibration with a switchable market
- AMERICAN OPTIONS WITH REGIME SWITCHING
- An explicit solution to an optimal stopping problem with regime switching
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Nearly-optimal asset allocation in hybrid stock investment models.
- Optimal selling rules in a regime switching model
- STOCK LOANS
- Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies
- Stock trading: an optimal selling rule
- Trading a mean-reverting asset: buy low and sell high
- Valuation of stock loans with regime switching
Cited in
(6)- Valuation of stock loans with regime switching
- Stock loan valuation under a stochastic interest rate model
- Valuation of stock loans under a Markov chain model
- Pricing stock loans with the CGMY model
- Valuation of stock loan under uncertain mean-reverting stock model
- Finite maturity American-style stock loans with regime-switching volatility
This page was built for publication: Stock loan valuation under a regime-switching model with mean-reverting and finite maturity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q601072)
