On the non-equilibrium density of geometric mean reversion
DOI10.1016/J.SPL.2009.12.017zbMATH Open1189.62015OpenAlexW3121476267MaRDI QIDQ962018FDOQ962018
Authors: Zhaojun Yang, Christian-Oliver Ewald 
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
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Cites Work
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- On some exponential functionals of Brownian motion
- An Asymptotic Theory of Growth Under Uncertainty
- Investment under alternative return assumptions
- Diffusion Processes in One Dimension
- The return on investment from proportional portfolio strategies
- Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
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- A new technique for calibrating stochastic volatility models: the Malliavin gradient method
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