Statistical arbitrage in jump-diffusion models with compound Poisson processes

Erdinc Akyildirim, Frank J. Fabozzi, Ahmet Goncu, Ahmet Sensoy

Year of publication:	2022
Authors:	Akyildirim, Erdinc ; Fabozzi, Frank J. ; Goncu, Ahmet ; Sensoy, Ahmet
Published in:	Risk management decisions and value under uncertainty. - Dordrecht, The Netherlands : Springer. - 2022, p. 1357-1371
Subject:	Statistical arbitrage \| Jump-diffusion model \| Compound Poisson process \| Monte Carlo simulation \| Stochastischer Prozess \| Stochastic process \| Monte-Carlo-Simulation \| Arbitrage \| Optionspreistheorie \| Option pricing theory

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