1 |
Song, Q.S., Yin, G. & Zhang, Q.: Stochastic Optimization Methods for Buying-Low-and-selling-High Strategies. Stochastic Analysis and Applications 27 (2009), no. 3, 523-542.
DOI
ScienceOn
|
2 |
Uhlenbeck, G.E. & Ornstein, L.S.: On the theory of Brownian Motion. Physical Review 36 (1930), 823-841.
DOI
|
3 |
Poterba, J. & Summers, L.: Mean Reversion in Stock Prices: Evidence and Implication. NBER Working paper 2343 (August, 1987).
|
4 |
Zhang, H. & Zhang, Q.: Trading a mean-reverting asset: Buy law and sell high. Automatica 44 (June, 2008), 1511-1518.
DOI
ScienceOn
|
5 |
Frankel, J. & Rose, A.: A panel project on purchasing power parity: Mean reversion within and between countries. J. of International Economics 40 (1996), 209-224.
DOI
ScienceOn
|
6 |
McKean, H.P.: A free boundary problem for the heat equation arising from a problem of mathematical economics. Inderstrial Managem. Review 61 (Spring, 1965), 32-39.
|
7 |
Shin, D.: American perpetual put option valuation with one time regime switching. preprint, 2009.
|
8 |
Eloe, P., Liu R.H., Yatsuki M., Yin, G. & Zhang, Q.: Optimal selling rules in a regime-switching exponential Gaussian diffusion model. SIAM J. Appl. Math. 69 (2008), no.3, 810-829.
DOI
ScienceOn
|
9 |
Fama, E. & French, K.: Forecasting Profitability and Earnings. J. of Business 73 (2000), no 2, 161-175.
DOI
ScienceOn
|
10 |
Guo, X. & Zhang, Q.: Closed-form solutions for perpetual american put options with regime switching. SIAM J. Appl. Math. 64 (2004), 2034-2049.
DOI
ScienceOn
|