Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework

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Publication:6490771

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DOI10.1080/1350486x.2024.2316139MaRDI QIDQ6490771

Kevin W. Lu, Tim Leung

Publication date: 23 April 2024

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Financial markets (91G15)

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