An optimal strategy for pairs trading under geometric Brownian motions
type: Item
instance of: scholarly article
title: An optimal strategy for pairs trading under geometric Brownian motions
zbMATH Open document ID: 1418.91491
author: Jingzhi Tie
author: Q. Zhang
author: Hanqin Zhang
published in: Journal of Optimization Theory and Applications
publication date: 2018-11-27T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6985477
zbMATH Keywords: pairs trading
zbMATH Keywords: optimal policy
zbMATH Keywords: quasi-variational inequalities
MaRDI profile type: Publication
full work available at URL: s10957-017-1065-8
OpenAlex ID: W2582976809
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DOI: 10.1007/S10957-017-1065-8
description: scientific article; zbMATH DE number 6985477