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On an approximation method for pricing a high-dimensional basket options on assets with mean-reverting prices
Li, Xun
;
Wu, Zhenyu
- In:
Computers & operations research : and their …
35
(
2008
)
1
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Currency barrier option pricing with mean reversion
Hui, Cho H.
;
Lo, C. F.
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The journal of futures markets
26
(
2006
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10
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pp. 939-958
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Does the Tunisian stock market overreact?
Hammami, Fatma
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Abaoub, Ezzeddine
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Risk management and value : valuation and asset price
,
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.
2008
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Threshold mean reversion in stock prices
Jawadi, Fredj
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Risk management and value : valuation and asset price
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A preference-free formula to value commodity derivatives
Rogríguez, Juan Carlos
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2007
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96
Nonlinear mean reversion in stock prices
Bali, Turan G.
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Demirtas, K. Ozgur
;
Levy, Haim
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Journal of banking & finance
32
(
2008
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5
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pp. 767-782
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An empirical study of momentum and reversal in United States equity market
Jun, Wang
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2005
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A heterogeneous model of disposition effect
Hung, Mao-Wei
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Yu, Hsiao-yuan
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Applied economics
38
(
2006
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18
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pp. 2147-2157
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On the estimation and comparison of short-rate models using the generalised method of moments
Faff, Robert W.
;
Gray, Philip K.
- In:
Journal of banking & finance
30
(
2006
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11
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Disaggregate real exchange rate behaviour
Fazio, Giorgio
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McAdam, Peter
;
MacDonald, Ronald
- In:
Open economies review
18
(
2007
)
4
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pp. 389-404
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