Optimal closing of a pair trade with a model containing jumps. (Q375434)
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scientific article; zbMATH DE number 6221230
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| default for all languages | No label defined |
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| English | Optimal closing of a pair trade with a model containing jumps. |
scientific article; zbMATH DE number 6221230 |
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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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0.8059731721878052
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0.7772674560546875
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0.7771866321563721
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0.7765407562255859
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0.7747772336006165
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