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Pairs trading under GBM with reversible positions - MaRDI portal

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Pairs trading under GBM with reversible positions (Q6662542)

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scientific article; zbMATH DE number 7966557
Language Label Description Also known as
English
Pairs trading under GBM with reversible positions
scientific article; zbMATH DE number 7966557

    Statements

    title
    Pairs trading under GBM with reversible positions (English)
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    author
    Emily Crawford Das
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    Jingzhi Tie
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    Q. Zhang
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    publication date
    14 January 2025
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    zbMATH Keywords
    pairs trading
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    optimal policy
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    geometric Brownian motion
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    quasi-variational inequalities
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    Identifiers

    Mathematics Subject Classification ID
    93E20
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    91G80
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    49L20
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    zbMATH DE Number
    7966557
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