Pairs trading under GBM with reversible positions

DOI10.4310/AMSA.241031205917MaRDI QIDQ6662542

Q. Zhang, Emily Crawford Das, Jingzhi Tie

Publication date: 14 January 2025

Published in: Annals of Mathematical Sciences and Applications (Search for Journal in Brave)

zbMATH Keywords

quasi-variational inequalitiesgeometric Brownian motionpairs tradingoptimal policy

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

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