On the non-equilibrium density of geometric mean reversion
DOI10.1016/J.SPL.2009.12.017zbMATH Open1189.62015OpenAlexW3121476267MaRDI QIDQ962018FDOQ962018
Christian-Oliver Ewald, Zhaojun Yang
Publication date: 1 April 2010
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2009.12.017
Exact distribution theory in statistics (62E15) Applications of statistics to economics (62P20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Cites Work
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Cited In (6)
- Derivatives on nonstorable renewable resources: fish futures and options, not so fishy after all
- SUSTAINABLE YIELDS IN FISHERIES: UNCERTAINTY, RISK-AVERSION, AND MEAN-VARIANCE ANALYSIS
- Dividend derivatives
- Dividend derivatives
- Asian and Australian options: a common perspective
- Modelling fundamental analysis in portfolio selection
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