A threshold type policy for trading a mean-reverting asset with fixed transaction costs
Year of publication: |
December 2018
|
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Authors: | Luu, Phong ; Tie, Jingzhi ; Zhang, Qing |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 6.2018, 4, p. 1-15
|
Subject: | mean reversion | HJB equation | quasi-variational inequalities | smooth-fit method | Theorie | Theory | Transaktionskosten | Transaction costs | Mean Reversion | Mean reversion | Schätzung | Estimation |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks6040107 [DOI] hdl:10419/195880 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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