Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process (Q5139232)
From MaRDI portal
scientific article; zbMATH DE number 7282778
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process |
scientific article; zbMATH DE number 7282778 |
Statements
Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process (English)
0 references
7 December 2020
0 references
pairs trading
0 references
Lévy-driven Ornstein-Uhlenbeck process
0 references
optimal thresholds
0 references
two-sided exit problem
0 references
0 references
0 references
0 references
