Optimal switching strategy of a mean-reverting asset over multiple regimes (Q259389)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Optimal switching strategy of a mean-reverting asset over multiple regimes |
scientific article |
Statements
Optimal switching strategy of a mean-reverting asset over multiple regimes (English)
0 references
11 March 2016
0 references
optimal multiple switching problem
0 references
Hamilton-Jacobi-Bellman (HJB) variational inequality
0 references
switching regions
0 references
viscosity solutions
0 references
Ornstein-Uhlenbeck process
0 references
Hermite function
0 references
pairs trading strategy
0 references