A finite difference scheme for pairs trading with transaction costs
Zequn Li, Agnès Tourin
| Year of publication: |
2022
|
|---|---|
| Authors: | Li, Zequn ; Tourin, Agnès |
| Subject: | Cointegration | Monotone finite difference scheme | Pairs trading | Price impact | Stochastic control | Transaction costs | Transaktionskosten | Theorie | Theory | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Hedging |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-021-10159-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013380794