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scientific article; zbMATH DE number 7514018 - MaRDI portal

scientific article; zbMATH DE number 7514018

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Publication:5072165

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zbMath1485.91227MaRDI QIDQ5072165

Phong Thanh Luu, Jingzhi Tie, Qing Zhang

Publication date: 25 April 2022

Full work available at URL: http://yokohamapublishers.jp/online2/opaao/vol2/p117.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

pairs trading optimal trading strategy geometric Brownian motions mean reversion model

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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