Search Results - subject:"Mean reverting processes"

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The laws of motion of the broker call rate in the United States

Garivaltis, Alex - In: International Journal of Financial Studies 7 (2019) 4, pp. 1-23

In this paper, which is the third installment of the author's trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin loans to retail clients. We describe the basic...

Persistent link: https://www.econbiz.de/10013200234

The laws of motion of the broker call rate in the United States

Garivaltis, Alex - In: International Journal of Financial Studies : open … 7 (2019) 4/56, pp. 1-23

In this paper, which is the third installment of the author´s trilogy on margin loan pricing, we analyze 1367 monthly observations of the U.S. broker call money rate, e.g., the interest rate at which stockbrokers can borrow to fund their margin loans to retail clients. We describe the basic...

Persistent link: https://www.econbiz.de/10012150532

Optimal strategies with option compensation under mean reverting returns or volatilities

Herzel, Stefano; Nicolosi, Marco - In: Computational Management Science : CMS 16 (2019) 1/2, pp. 47-69

Persistent link: https://www.econbiz.de/10011993415

Asymptotic approximations for pricing derivatives under mean-reverting processes

Jordan, Richard; Tier, Charles - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-31

Persistent link: https://www.econbiz.de/10011525106

Robust investment decisions under supply disruption in petroleum markets

Gülpınar, Nalân; Canakoglu, Ethem; Pachamanova, Dessilava - In: Computers & operations research : and their … 44 (2014), pp. 75-91

Persistent link: https://www.econbiz.de/10010240596