Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process (Q5139232): Difference between revisions
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Revision as of 01:48, 20 March 2024
scientific article; zbMATH DE number 7282778
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process |
scientific article; zbMATH DE number 7282778 |
Statements
Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process (English)
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7 December 2020
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pairs trading
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Lévy-driven Ornstein-Uhlenbeck process
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optimal thresholds
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two-sided exit problem
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