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"A theoretical model of jump diffusion-mean reversion: Constant proportion ..."

Anindya Chakrabarty et al. (2017)

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DOI: 10.1108/BPMJ-01-2016-0005

access: closed

type: Journal Article

metadata version: 2020-06-18

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  - https://dblp.org/rec/journals/bpmj/ChakrabartyLDJ17
Anindya Chakrabarty, Zongwei Luo, Rameshwar Dubey, Shan Jiang:
A theoretical model of jump diffusion-mean reversion: Constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor. Bus. Process. Manag. J. 23(3): 537-554 (2017)

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