Similar Search Results - EconBiz

A threshold type policy for trading a mean-reverting asset with fixed transaction costs

Luu, Phong; Tie, Jingzhi; Zhang, Qing - In: Risks : open access journal 6 (2018) 4, pp. 1-15

A mean-reverting model is often used to capture asset price movements fluctuating around its equilibrium. A common strategy trading such mean-reverting asset is to buy low and sell high. However, determining these key levels in practice is extremely challenging. In this paper, we study the...

Persistent link: https://www.econbiz.de/10011906215

Calibration of temperature futures by changing the mean reversion

Benth, Fred Espen; Ortiz-Latorre, Salvador - In: The journal of energy markets 10 (2017) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011999391

The risk-adjusted carbon price

Bremer, Ton S. van den; Ploeg, Frederick van der - 2018

Persistent link: https://www.econbiz.de/10011896383

Pricing volatility options under stochastic skew with application to the VIX index

Marabel Romo, Jacinto - In: The European journal of finance 23 (2017) 4/6, pp. 353-374

Persistent link: https://www.econbiz.de/10011736265

Horizon effects that are larger than you think : dynamic allocation with a representative investor

O'Brien, Thomas J. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 39-50

Persistent link: https://www.econbiz.de/10011700673

Closed form equilibrium evaluation of interest rate caps and related derivatives in a real business cycle setting

Tvedt, Jostein - In: Applied mathematical finance 23 (2016) 3/4, pp. 261-277

Persistent link: https://www.econbiz.de/10011704235

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

An empirical study on the stock price volatility of small and medium enterprise board in China

Chi, Qishui; Huo, Jieyi - In: Research in world economy 8 (2017) 2, pp. 12-24

Persistent link: https://www.econbiz.de/10011784337

Pricing options on trend-stationary currencies : applications to the Chinese yuan

Mebane, Michael - In: Journal of risk 18 (2015/2016) 4, pp. 79-101

Persistent link: https://www.econbiz.de/10011578390

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

A service of the