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. Business Proc. Manag. Journal, 23(3):537-554, 2017. [doi]
@article{ChakrabartyLDJ17,
title = {A theoretical model of jump diffusion-mean reversion: Constant proportion portfolio insurance strategy under the presence of transaction cost and stochastic floor},
author = {Anindya Chakrabarty and Zongwei Luo and Rameshwar Dubey and Shan Jiang},
year = {2017},
doi = {10.1108/BPMJ-01-2016-0005},
url = {https://doi.org/10.1108/BPMJ-01-2016-0005},
researchr = {https://researchr.org/publication/ChakrabartyLDJ17},
cites = {0},
citedby = {0},
journal = {Business Proc. Manag. Journal},
volume = {23},
number = {3},
pages = {537-554},
}