Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process

DOI10.1080/14697688.2020.1736613zbMath1454.91267OpenAlexW3015132459MaRDI QIDQ5139232

Hongxin Zhao, Xin Zang, Lan Wu

Publication date: 7 December 2020

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1736613

zbMATH Keywords

pairs tradingLévy-driven Ornstein-Uhlenbeck processtwo-sided exit problemoptimal thresholds

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Financial markets (91G15)

Related Items (1)

Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Jump-Diffusion Model for Option Pricing
• Optimal closing of a pair trade with a model containing jumps.
• Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters
• Maximum likelihood estimation of the double exponential jump-diffusion process
• On exit times of Levy-driven Ornstein-Uhlenbeck processes
• Occupation times of Lévy-driven Ornstein-Uhlenbeck processes with two-sided exponential jumps and applications
• On a martingale associated to generalized Ornstein-Uhlenbeck processes and an application to finance
• Exit times for a class of piecewise exponential Markov processes with two-sided jumps
• First passage times of a jump diffusion process
• A stochastic model for commodity pairs trading
• Analytic value function for optimal regime-switching pairs trading rules
• Intraday pairs trading strategies on high frequency data: the case of oil companies
• On the First Passage Time Under Regime-Switching with Jumps
• Pairs trading with a mean-reverting jump–diffusion model on high-frequency data
• Martingales and First-Passage Times for Ornstein--Uhlenbeck Processes with a Jump Component
• Pairs trading: optimal thresholds and profitability
• OPTIMAL MEAN REVERSION TRADING WITH TRANSACTION COSTS AND STOP-LOSS EXIT
• Ornstein--Uhlenbeck Process with Non-Gaussian Structure
• Pairs trading
• The First Passage Problem for a Continuous Markov Process

This page was built for publication: Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein–Uhlenbeck process