Pairs Trading under Geometric Brownian Motion Models
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Publication:5050093
DOI10.1007/978-3-030-98519-6_15zbMath1504.91305OpenAlexW4226213408MaRDI QIDQ5050093
Jingzhi Tie, Phong Thanh Luu, Qing Zhang
Publication date: 15 November 2022
Published in: Stochastic Analysis, Filtering, and Stochastic Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-030-98519-6_15
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial markets (91G15) Hamilton-Jacobi equations in optimal control and differential games (49L12)
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