Pages that link to "Item:Q4646794"
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The following pages link to On a semi-spectral method for pricing an option on a mean-reverting asset (Q4646794):
Displaying 9 items.
- An optimal mean-reversion trading rule under a Markov chain model (Q326803) (← links)
- A spectral element framework for option pricing under general exponential Lévy processes (Q395363) (← links)
- A spectral element approximation to price European options with one asset and stochastic volatility (Q618530) (← links)
- A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets (Q665717) (← links)
- An optimal trading rule under a switchable mean-reversion model (Q2247920) (← links)
- On an approximation method for pricing a high-dimensional basket option on assets with mean-reverting prices (Q2384584) (← links)
- Trading a mean-reverting asset: buy low and sell high (Q2440761) (← links)
- Polynomial Processes for Power Prices (Q5217497) (← links)
- Pairs trading under a mean reversion model with regime switching (Q6668654) (← links)