Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework

DOI10.1080/1350486X.2024.2316139MaRDI QIDQ6490771zbMATH OpenFDO

Authors Tim Leung, Kevin W. Lu

Publication date 23 April 2024

Published in Applied Mathematical Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1080/1350486X.2024.2316139

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Financial markets (91G15) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

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• OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
• Pairs trading
• Statistical arbitrage in the US equities market
• The Variance Gamma Process and Option Pricing
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