Optimal dynamic basis trading
Bahman Angoshtari, Tim Leung
| Year of publication: |
2019
|
|---|---|
| Authors: | Angoshtari, Bahman ; Leung, Tim |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 15.2019, 3, p. 307-335
|
| Subject: | Futures | Stochastic basis | Cash and carry | Scaled Brownian bridge | Risk aversion | Stochastischer Prozess | Stochastic process | Theorie | Theory | Risikoaversion | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10436-019-00348-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012240079