Optimal switching for the pairs trading rule: a viscosity solutions approach (Q275316): Difference between revisions
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| Property / DOI: 10.1016/J.JMAA.2016.03.060 / rank | |||
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Latest revision as of 13:09, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal switching for the pairs trading rule: a viscosity solutions approach |
scientific article |
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Optimal switching for the pairs trading rule: a viscosity solutions approach (English)
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25 April 2016
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pairs trading
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optimal switching
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mean-reverting process
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viscosity solutions
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