Statistical arbitrage in the Black–Scholes framework

DOI10.1080/14697688.2014.961531zbMath1398.91685arXiv1406.5646OpenAlexW2143680228MaRDI QIDQ4683080

Ahmet Göncü

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.5646

zbMATH Keywords

Monte Carlo simulationBlack-Scholes modelgeometric Brownian motionstatistical arbitrage

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (4)

Statistical arbitrage in jump-diffusion models with compound Poisson processes ⋮ A stochastic model for commodity pairs trading ⋮ Generalized statistical arbitrage concepts and related gain strategies ⋮ Statistical arbitrage: factor investing approach

Cites Work

• The Pricing of Options and Corporate Liabilities
• Stochastic calculus for finance. II: Continuous-time models.
• Statistical arbitrage in the US equities market
• Pairs trading

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