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

DOI10.1080/1350486X.2024.2316139MaRDI QIDQ6490771FDO

Authors Tim Leung, Kevin W. Lu

Publication date 23 April 2024

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

Mathematics Subject Classification ID

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

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Cites work

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• Pairs trading
• Statistical arbitrage in the US equities market
• The Variance Gamma Process and Option Pricing
• Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions

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