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subject:"Mean reversion"
~isPartOf:"Energy economics"
~isPartOf:"International journal of financial engineering"
~subject:"Option trading"
~subject:"Unit root test"
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On the efficacy of optimized exit rule for mean reversion trading
Lee, Donovan
;
Leung, Tim
- In:
International journal of financial engineering
7
(
2020
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012603008
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2
Pricing derivatives with fractional volatility
Funahashi, Hideharu
- In:
International journal of financial engineering
4
(
2017
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011673129
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3
A new S.D.E. and instantaneous mean reversion rate formula (presented via a numerical empirical model comparison)
Rabinovitz, Yedidya
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011778269
Saved in:
4
Trading VIX futures under mean reversion with regime switching
Li, Jiao
- In:
International journal of financial engineering
3
(
2016
)
3
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011588132
Saved in:
5
An agent-based approach with collaboration among agents : estimation of wholesale electricity price on PJM and artificial data generated by a mean reverting model
Sueyoshi, Toshiyuki
- In:
Energy economics
32
(
2010
)
5
,
pp. 1025-1033
Persistent link: https://www.econbiz.de/10008934334
Saved in:
6
Valuing flexibility : the case of an integrated gasification combined cycle power plant
Abadié Muñoz, Luis María
;
Chamorro, José-Maria
- In:
Energy economics
30
(
2008
)
4
,
pp. 1850-1881
Persistent link: https://www.econbiz.de/10003745329
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