OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
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Publication:5256839
DOI10.1142/S021902491550020XzbMath1337.91156arXiv1411.5062OpenAlexW3125262548WikidataQ56003561 ScholiaQ56003561MaRDI QIDQ5256839
Publication date: 29 June 2015
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1411.5062
Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
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