Optimal closing of a pair trade with a model containing jumps. (Q375434)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Optimal closing of a pair trade with a model containing jumps. |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Optimal closing of a pair trade with a model containing jumps. |
scientific article |
Statements
Optimal closing of a pair trade with a model containing jumps. (English)
0 references
30 October 2013
0 references
pairs trading
0 references
optimal stopping
0 references
Ornstein-Uhlenbeck-type process
0 references
finite element method
0 references
error estimate
0 references
0.8059731721878052
0 references
0.7772674560546875
0 references
0.7771866321563721
0 references
0.7765407562255859
0 references
0.7747772336006165
0 references
