Analytic value function for optimal regime-switching pairs trading rules
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Publication:4554446
DOI10.1080/14697688.2017.1336281zbMath1400.91527OpenAlexW2736839287MaRDI QIDQ4554446
Publication date: 14 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1336281
regime-switchingpairs tradingoptimal thresholdsdouble boundary stopping timeMarkov-modulated O-U process
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