Optimal closing of a pair trade with a model containing jumps.
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Publication:375434
DOI10.1007/s10492-013-0012-8zbMath1289.91154arXiv1004.2947OpenAlexW3098807584WikidataQ59593862 ScholiaQ59593862MaRDI QIDQ375434
Carl Lindberg, Stig Larsson, Marcus Warfheimer
Publication date: 30 October 2013
Published in: Applications of Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1004.2947
Numerical methods (including Monte Carlo methods) (91G60) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)
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