Optimal closing of a pair trade with a model containing jumps. (Q375434)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal closing of a pair trade with a model containing jumps. |
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Optimal closing of a pair trade with a model containing jumps. (English)
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30 October 2013
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pairs trading
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optimal stopping
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Ornstein-Uhlenbeck-type process
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finite element method
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error estimate
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