Optimal pair trading: consumption-investment problem with finite and infinite horizon (Q6636980)
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scientific article; zbMATH DE number 7942888
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal pair trading: consumption-investment problem with finite and infinite horizon |
scientific article; zbMATH DE number 7942888 |
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Optimal pair trading: consumption-investment problem with finite and infinite horizon (English)
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12 November 2024
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spread trading
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pair trading
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Ornstein-Uhlenbeck process
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consumption-investment problem
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HJB equation
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