Monte Carlo simulation for trading under a Lévy-driven mean-reverting framework
Tim Leung and Kevin W. Lu
| Year of publication: |
2023
|
|---|---|
| Authors: | Leung, Tim ; Lu, Kevin W. |
| Subject: | Lévy process | mean reversion | Monte Carlo simulation | Ornstein-Uhlenbeck process | Pairs trading | variance gamma process | Monte-Carlo-Simulation | Stochastischer Prozess | Stochastic process | Mean Reversion | Mean reversion | Optionspreistheorie | Option pricing theory | Simulation | Derivat | Derivative |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2024.2316139 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015051244