Optimal switching for the pairs trading rule: a viscosity solutions approach

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Publication:275316

DOI10.1016/j.jmaa.2016.03.060zbMath1338.91134arXiv1412.7649OpenAlexW3125933830MaRDI QIDQ275316

Minh-Man Ngo, Huyên Pham

Publication date: 25 April 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.7649




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