An optimal strategy for pairs trading under geometric Brownian motions (Q1626514)

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An optimal strategy for pairs trading under geometric Brownian motions
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    title
    An optimal strategy for pairs trading under geometric Brownian motions (English)
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    author
    Jingzhi Tie
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    Qing Zhang
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    publication date
    27 November 2018
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    Mathematics Subject Classification ID
    91G10
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    93E20
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    91G80
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    zbMATH DE Number
    6985477
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    zbMATH Keywords
    pairs trading
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    optimal policy
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    quasi-variational inequalities
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