Analytic value function for a pairs trading strategy with a Lévy-driven Ornstein-Uhlenbeck process
Lan Wu, Xin Zang and Hongxin Zhao
| Year of publication: |
2020
|
|---|---|
| Authors: | Wu, Lan ; Zang, Xin ; Zhao, Hongxin |
| Subject: | Lévy-driven Ornstein-Uhlenbeck process | Optimal thresholds | Pairs trading | Two-sided exit problem | Theorie | Theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Mean Reversion | Mean reversion |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1736613 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012262663